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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2067/1517
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| Title: | Memory Property in Heterogeneously Populated Markets |
| Authors: | Cerqueti, Roy
Rotundo, Giulia |
| Keywords: | microeconomic model; long term memory |
| Issue Date: | 2010 |
| Publisher: | Springer |
| Citation: | 12. R. Cerqueti, G. Rotundo, “Memory Property in Heterogeneously Populated Markets”. In: Springer series “Studies in Fuzziness and Soft Computing” (R.R. Kacprzyk, J. Ed.), “Preferences and Decisions” Greco, S., Marques Pereira, R.A., Squillante, M., Yager, R.R., Kacprzyk, J. (Eds.), Vol. 257, Preferences and Decisions, pp. 53-67 (2010). ISBN/ISSN: 978-3-642-15975-6 |
| Abstract: | This paper focuses on the long memory of prices and returns of an asset traded in a _nancial market.We consider a microeconomic model of the market, and we prove theoretical conditions on the parameters of the model that give rise to long memory. In particular, the long memory property is detected in an agents' aggregation framework under some distributional hypotheses on the market's parameters. |
| URI: | http://hdl.handle.net/2067/1517 |
| ISSN: | 978-3-642-15975-6 |
| Appears in Collections: | DEIM - Archivio della produzione scientifica
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