| dc.creator (作者) | 山本竜市 | zh_TW |
| dc.creator (作者) | RYUICHI YAMAMOTO | - |
| dc.date (日期) | 2006 | - |
| dc.date.accessioned | 19-Oct-2010 22:09:59 (UTC+8) | - |
| dc.date.available | 19-Oct-2010 22:09:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-Oct-2010 22:09:59 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/47286 | - |
| dc.description.abstract (摘要) | This paper explores a possible cause of persistence in stock return volatility. Artificial stock markets are examined with different learning mechanisms, i.e. imitative and experiential learning. The simulation result shows that an economy with imitative learning gives rise to persistence of return volatility while an experiential learning economy does not. We find that volatility becomes persistent as investors learn through imitating the prediction methods of others. Imitation is crucial to producing the persistence in stock return volatility. | - |
| dc.language | zh_TW | en |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | New Mathematics and Natural Computation, Vol.2, No.3, pp.261-270 | en |
| dc.subject (關鍵詞) | Asset pricing; learning; evolution; volatility clustering | - |
| dc.title (題名) | What Causes Persistence of Stock Return Volatility?One Possible Explanation with an Artificial Stock Market | en |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1142/S1793005706000555 | - |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1142/S1793005706000555 | - |
