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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
Source: 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
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.
ISSN: 978-3-642-15975-6
Appears in Collections:DEIM - Archivio della produzione scientifica

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