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Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models
Rama Cont
agent-based modeling / behavioral switchingResource overview

Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models

Paper2005

by Rama Cont

Tags
agent-based modelingbehavioral switchingfinancial time seriesgarch modelsinvestor inertialong-range dependencevolatility clustering

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  1. Stochastic Processes, Brownian Motion and Itô's Lemma

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  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

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  1. Stochastic Volatility and the Heston Model

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  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

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