Technical trading can induce long-run memory in financial markets

Authored by J Alvarez-Ramirez, A Soriano, C Ibarra-Valdez, M Cisneros

Date Published: 2002-12-15

DOI: 10.1016/s0378-4371(02)01201-3

Sponsors: No sponsors listed

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

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. (C) 2002 Published by Elsevier Science B.V.

Tags

econophysics financial markets long-run memory