Big Data

Market Efficiencies And Market Risks

Date Added: Dec 2010
Format: PDF

In recent years numerous papers constructed or simulated financial markets at an agent level, aiming to explain the non-stationarity of price processes. All such papers agree that the heterogeneity of agents and of pricing models creates a dynamics in terms of pricing models used that explains not only the non-stationarity of price processes, but also stylised facts such as bubbles and fat tails. However, all these results issue from very specific parametric set-ups, and even if multiple approaches con firm it, there is no proof of the aforementioned results outside of such specifications.