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| François Benhmad |
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| ''Noise traders or Fundamentalists? A Wavelet approach'' |
| ( 2011, Vol. 31 No.1 ) |
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| According to market heterogeneity hypothesis, financial markets are characterized by the presence of heterogeneity of participants with different sensibilities to different time scales. Although Wavelet based Value at Risk is able to represent dealing frequencies of market participants, it doesn't explicitly take into account the presence of Noise traders and Fundamentalists.
In this paper, we introduce a Wavelet Value at Risk model which make a clear distinction between the two categories of traders. Thus, WVaR of Fundamentalists shows good performance especially in a high volatility regime as the one which has occurred in 2008
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| Keywords: Wavelet Value at Risk, Heterogeneity, Noise traders, Fundamentalists
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JEL: C5 - Econometric Modeling: General
C4 - Econometric and Statistical Methods: Special Topics |
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| Manuscript Received : Jun 02 2010 | | Manuscript Accepted : Mar 14 2011 |
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