This paper focuses on the long memory of prices and returns of an asset traded in a financial market. We consider a microeconomic model of the market, and we prove theoretical conditions on the parameters of the model that give rise to long memory. In particular, the long memory property is detected in an agents' aggregation framework under some distributional hypotheses on the market's parameters.
Memory property in heterogeneously populated markets
CERQUETI, ROY;
2010-01-01
Abstract
This paper focuses on the long memory of prices and returns of an asset traded in a financial market. We consider a microeconomic model of the market, and we prove theoretical conditions on the parameters of the model that give rise to long memory. In particular, the long memory property is detected in an agents' aggregation framework under some distributional hypotheses on the market's parameters.File in questo prodotto:
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dapag51a65 da 2010 Cerqueti Rotundo e Rotundo Preferences and Decisions.pdf
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