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Rational Interacting Agents and Volatility Clustering: A New Approach

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  • Siddiqi, Hammad

Abstract

Here, we show that agents who are ex ante rational, if allowed to interact locally, may generate clustering of volatility. Hence, there is no need to reject the notion of rationality in agent based models.

Suggested Citation

  • Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:2984
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatility Clustering; Rationality; Local Interactions;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

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