The fractional volatility model: An agent-based interpretation
Statistical Finance
2010-08-31 v2 Data Analysis, Statistics and Probability
Physics and Society
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.
Cite
@article{arxiv.0706.3827,
title = {The fractional volatility model: An agent-based interpretation},
author = {R. Vilela Mendes},
journal= {arXiv preprint arXiv:0706.3827},
year = {2010}
}