collaborators

1 paper

q-fin.TR2026

Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model

Jutta G. Kurth, Adam A. Majewski, Jean-Philippe Bouchaud

We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration…