Agent based reasoning for the non-linear stochastic models of long-range memory

Authored by Aleksejus Kononovicius, V. Gontis

Date Published: 2012-02-15

DOI: 10.1016/j.physa.2011.08.061

Sponsors: European Union

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model is compared to the nonlinear stochastic models of long-range memory in financial markets. The agent based model providing matching macroscopic description serves as a microscopic reasoning of the earlier proposed stochastic model exhibiting power law statistics. (C) 2011 Elsevier B.V. All rights reserved.

Tags

Agent based models financial markets Microfoundations stochastic models Long-range memory