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.
Asymmetric Semi-Volatility Spillover in a Nonlinear Model of Interacting Markets / Campisi, Giovanni; Muzzioli, Silvia. - In: INTERNATIONAL MATHEMATICAL FORUM. - ISSN 1312-7594. - 17:3(2022), pp. 117-127. [10.12988/imf.2022.912319]
Asymmetric Semi-Volatility Spillover in a Nonlinear Model of Interacting Markets
Giovanni Campisi;Silvia Muzzioli
2022
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.
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