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The Fractional Volatility Model

其他書名	An Agent-Based Interpretation
出版	SSRN, 2015
URL	http://books.google.com.hk/books?id=UssAzwEACAAJ&hl=&source=gbs_api

註釋Based on the criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, some features of the model are reviewed and extended to account for leverage effects. Using agent-based models, one tries to find which agent strategies and (or) properties of the financial institutions might be responsible for the features of the fractional volatility model.