VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
type: Item
instance of: scholarly article
title: VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
zbMATH Open document ID: 0967.91072
DOI: 10.1142/S0219024900000826
author: Michele Marchesi
author: Thomas C. H. Lux
published in: International Journal of Theoretical and Applied Finance
publication date: 2000-01-01T00:00:00Z
Mathematics Subject Classification ID: 91C20
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1558390
zbMATH Keywords: on-off intermittency
zbMATH Keywords: clustered volatility
zbMATH Keywords: ARCH effects
zbMATH Keywords: simulated time series
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1558390