Capesize markets behavior: Explaining volatility and expectations

Trading Behavior and excess volatility in Toy Markets

We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of i) the neglect of market impact implicit in price taking behavior and of ii) excessive reactivity of agents. These issues are dealt with in detail in the simple case without publ...

Explaining Growth Volatility

1 1 Some of the ideas in this paper were presented earlier as the Michael Bruno Memorial Lecture at the XII World Congress of the International Economics Association in August 1999. We are grateful for comments by participants in that event. We are also grateful to Mattias K. Lundberg and Alexander Lebedinsky for their valuable research assistance.

Incomplete Markets and Volatility

This paper shows that the precautionary motive, combined with asset incompleteness, is a major source of volatility and indeterminacy in financial markets. Price fluctuations originate from agents' efforts to insure themselves through time by borrowing and lending instead of shifting income across states of nature by trading risky assets. A high interest rate at a future date reduces the potent...

Volatility of Volatility of Financial Markets

We present empirical evidence for considering volatility of Eurodollar futures as a stochastic process, requiring a generalization of the standard Black-Scholes (BS) model which treats volatility as a constant. We use a previous development of a statistical mechanics of financial markets (SMFM) to model these issues. Ke ywords: options; eurodollar; volatility; statistical mechanics

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets