Please use this identifier to cite or link to this item: http://hdl.handle.net/2067/1517
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
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

Files in This Item:
File Description SizeFormat
R12.doc20.5 kBMicrosoft WordView/Open
Show full item record

Page view(s)

1
Last Week
0
Last month
0
checked on Oct 24, 2020

Download(s)

1
checked on Oct 24, 2020

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.