Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent

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Veröffentlicht in:	Empirical science of financial fluctuations
1. Verfasser:	Sato, Aki-hiro (VerfasserIn)
Weitere Verfasser:	Takayasu, Hideki (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	2002
Schlagworte:	Börsenkurs > Volatilität > Marktmikrostruktur > Simulation > ARCH-Modell > Theorie > Agentenbasierte Modellierung > Aufsatz im Buch
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