The fractional volatility model: An agent-based interpretation
arXiv:0706.3827 · doi:10.1016/j.physa.2008.01.052
Abstract
Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, some features of the model are discussed and, using agent-based models, one tries to find which agent strategies and (or) properties of the financial institutions might be responsible for the features of the fractional volatility model.
23 pages, 11 figures
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