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A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
2010/4/27
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the mo...
Asset returns and volatility clustering in financial time series
volatility clustering financial time series
2010/4/27
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions...