A new structural stochastic volatility model of asset pricing and its stylized facts

Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for modelling stochastic interactions between agents, based on a herding...

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Veröffentlicht in:	arXiv.org 2016-04
Hauptverfasser:	Pruna, Radu T, Polukarov, Maria, Jennings, Nicholas R
Format:	Artikel
Sprache:	eng
Schlagworte:	Clustering Computer simulation Economic models Misalignment Parameter estimation Pricing Statistical methods Stochastic models Stock market indexes Volatility
Online-Zugang:	Volltext
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