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| Matei Demetrescu |
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| ''Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?'' |
| ( 2007, Vol. 7 No.15 ) |
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| Clustering volatility is shown to appear in a simple market model with noise trading simply because agents use volatility forecasting models. At the core of the argument lies a feed-back mechanism linking past observed volatility to present observed volatility. Its stability properties are critical as to what kind of volatility will ultimately be observed. |
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| Manuscript Received : Sep 24 2007 | | Manuscript Accepted : Oct 17 2007 |
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