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Shi et al., 2019 - Google Patents

An Agent‐Based Model of a Pricing Process with Power Law, Volatility Clustering, and Jumps

Shi et al., 2019

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Document ID
2314226310381783514
Author
Shi Y
Luo Q
Li H
Publication year
Publication venue
Complexity

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Snippet

In this paper, we propose a new model of security price dynamics in order to explain the stylized facts of the pricing process such as power law distribution, volatility clustering, jumps, and structural changes. We assume that there are two types of agents in the financial …
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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