Title of article
Technical trading can induce long-run memory in financial markets
Author/Authors
Jose Alvarez-Ramirez، نويسنده , , Angel Soriano، نويسنده , , Carlos Ibarra-Valdez، نويسنده , , Myriam Cisneros، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
13
From page
483
To page
495
Abstract
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.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2002
Journal title
Physica A Statistical Mechanics and its Applications
Record number
868184
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