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 Date: 2010-06-16 05:05:12Financial economics Mathematical sciences Technical analysis Options Fractals Volatility clustering Stochastic volatility Volatility Hurst exponent Statistics Mathematical finance Time series analysis |
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Volatility Clustering in Financial Markets: Empirical Facts and Agent–Based Models Rama Cont Centre de Math´ematiques appliqu´ees, Ecole Polytechnique F[removed]Palaiseau, France [removed] To appear i