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Noise traders or Fundamentalists? A Wavelet approach

Author

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  • François Benhmad

    (LAMETA)

Abstract

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

Suggested Citation

  • François Benhmad, 2011. "Noise traders or Fundamentalists? A Wavelet approach," Economics Bulletin, AccessEcon, vol. 31(1), pages 782-791.
    • Handle: RePEc:ebl:ecbull:eb-10-00362
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I1-P75.pdf
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    References listed on IDEAS

    as
    1. Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997. "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 213-239, June.
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    Cited by:

    1. Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
    2. Benhmad, François, 2013. "Bull or bear markets: A wavelet dynamic correlation perspective," Economic Modelling, Elsevier, vol. 32(C), pages 576-591.
    3. BEN ABDALLAH Mohamed & TALBI Omar, 2024. "A Wavelet Analysis of Bitcoin Price Volatility Dynamic," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(1), pages 951-964, January.

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    More about this item

    Keywords

    Wavelet Value at Risk; Heterogeneity; Noise traders; Fundamentalists;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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