IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Contrarians and Volatility Clustering

Listed author(s):
  • E.R. Grannan
  • G.H. Swindle
Registered author(s):

    We intoduce a new origin of volatility clustering in econonmic time series gererated by systems of interacting adaptive agents. Each agent is assigned a random subset of a fixed collection of predictors. At every time step each agent generates an action based upon its assigned predictors. Some agents are contrarians---i.e. they act at variance with the natural action suggested by a predictor. Agents that perform poorly are replaced. At each time step the signal value is generated soley by the cumulative actions of the agents on the current history of the time series. We observe numerically that under the dynamics induced by the removal of poor performers, even when contrarians are introduced at a very low density, the system evolves to a state in which contrarians comprise nearly half of the population. Furthermore, the time series generated by these systems exhibits volatility clustering. Elimination of either the contrarian behavior or the removal of poor players precludes volatility clustering.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Paper provided by Santa Fe Institute in its series Working Papers with number 94-03-010.

    in new window

    Date of creation: Mar 1994
    Handle: RePEc:wop:safiwp:94-03-010
    Contact details of provider: Postal:
    1399 Hyde Park Road, Santa Fe, New Mexico 87501

    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:wop:safiwp:94-03-010. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.