| Abstract |
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Price fluctuations in speculative market dynamics have interesting statistical
properties. As temporal ones, (I) vanishing autocorrelation of return, (ii) intermittency
and long-memory in the magnitude of return, called volatility,(iii) self-similarity of
volatilities for different time-scales ("volatility cascade "). These properties in strongly
correlated regime from minutes to months are crucial for understanding market and
to control risk. First, it is briefly reviewed how one can characterize the statistical
properties of such non-equilibrium nature. Second, adaptive agent models with
opinion-epidemics and speculative bubbles are considered including Lux's stochastic
model. The origin of volatility clustering and cascade might be understood as
aggregate behavior of human speculations, and the dynamics might be regareded
as a kind of on-off intermittency.
|
 Additional Information
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Citation:
Yoshi Fujiwara,
"Volatility Cascade and Market Dynamics,"
iccima,
p. 9,
Fourth International Conference on Computational Intelligence and Multimedia Applications (ICCIMA'01),
2001
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