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Can I read Time Variation of Second Moments from a Noise Trader/infection Model on EtoBox?
Time Variation of Second Moments from a Noise Trader/infection Model by Thomas Lux is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Time Variation of Second Moments from a Noise Trader/infection Model about?
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 lindings, 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.
Who reads Time Variation of Second Moments from a Noise Trader/infection Model?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Thomas Lux
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0165-1889)
- Published
- 1997
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)