{"title":"相互作用市场非线性模型中的非对称半波动溢出","authors":"Giovanni Campisi, S. Muzzioli","doi":"10.12988/imf.2022.912319","DOIUrl":null,"url":null,"abstract":"This paper develops an heterogeneous agents model with fundamentalists and chartists trading in two different speculative markets. It examines whether investors’ behaviour is related to the volatility and its dynamics. We find that investors’ heterogeneity in price trends and trading strategies can significantly explain asymmetry in semi-volatility transmission.","PeriodicalId":107214,"journal":{"name":"International Mathematical Forum","volume":"9 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Asymmetric semi-volatility spillover in a nonlinear model of interacting markets\",\"authors\":\"Giovanni Campisi, S. Muzzioli\",\"doi\":\"10.12988/imf.2022.912319\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper develops an heterogeneous agents model with fundamentalists and chartists trading in two different speculative markets. It examines whether investors’ behaviour is related to the volatility and its dynamics. We find that investors’ heterogeneity in price trends and trading strategies can significantly explain asymmetry in semi-volatility transmission.\",\"PeriodicalId\":107214,\"journal\":{\"name\":\"International Mathematical Forum\",\"volume\":\"9 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1900-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Mathematical Forum\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12988/imf.2022.912319\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Mathematical Forum","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12988/imf.2022.912319","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Asymmetric semi-volatility spillover in a nonlinear model of interacting markets
This paper develops an heterogeneous agents model with fundamentalists and chartists trading in two different speculative markets. It examines whether investors’ behaviour is related to the volatility and its dynamics. We find that investors’ heterogeneity in price trends and trading strategies can significantly explain asymmetry in semi-volatility transmission.
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