Time variation of second moments from a noise trader/infection model

  • Lux T
  • 32

    Readers

    Mendeley users who have this article in their library.
  • 88

    Citations

    Citations of this article.

Abstract

This paper considers the dynamics of conditional second moments resulting from a statistical description of agents' attitudes and behaviour in a noise trader/infection framework. In general, the dynamics of second moments of state variables (e.g. prices) can be seen to exhibit autoregressive structures. Conforming to well-known empirical findings, volatility can change over time, shocks to volatility have lasting effects and mean-reversion in second moments is observed. Thus, this kind of market microstructure modelling can contribute to explain the regularities in variances found in data from asset markets and foreign exchange markets.

Author-supplied keywords

  • C61
  • D84
  • G12
  • Heteroscedasticity
  • Market microstructure
  • Noise traders
  • Speculation

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document

Authors

  • Thomas Lux

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free