2 documents found


An agent-based stochastic volatility model

The behavioral origins of the stylized facts of financial returns have been addressed in a growing body of agent-based models of financial markets. While the traditional efficient market viewpoint explains all statistical properties of returns by similar features of the news arrival process, the more...

Networks in Financial Markets

The thesis applies methods from network sciences to four economic topics: herding in financial markets; corporate board networks; contagion in global financial markets; the Italian overnight loan market.