The paper concerns a heterogeneous agent model, which is an extension of the Brock and Hommes model. The heterogeneous agents approach challenges the traditional representative rational agent framework. Heterogeneity in expectations can lead to market instability and complicated price dynamics....

In the paper, we research on the presence of long-range dependence in returns and volatility of Hungarian (BUX), Czech (PX) and Polish (WIG) stock indices between years 1997 and 2009 with a use of classical and modified rescaled range and rescaled variance analyses. Moving block bootstrap with...