Technical trading can induce long-run memory in financial markets

A simple agent-based model is used to propose an explanation of the source of long-run memory in financial markets. It is shown that the resulting model is equivalent to a neutral-type differential equation in the price dynamics, which displays a persistence property that can be related to memory effects.

MoreLess

Year of publication:	2002
Authors:	Alvarez-Ramirez, Jose ; Soriano, Angel ; Ibarra-Valdez, Carlos ; Cisneros, Myriam
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 316.2002, 1, p. 483-495
Publisher:	Elsevier
Subject:	Econophysics \| Long-run memory \| Financial markets

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010588553