Skip to main content
SpringerLink
Log in

Memory Property in Heterogeneously Populated Markets

  • Chapter
Preferences and Decisions

Part of the book series: Studies in Fuzziness and Soft Computing ((STUDFUZZ,volume 257))

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.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 129.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 169.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Hamburger, C.: Quasimonotonicity, regularity and duality for nonlinear systems of partial differential equations. Ann. Mat. Pura. Appl. 169, 321–354 (1995)

    Article  MATH  MathSciNet  Google Scholar 

  2. Alfarano, S., Lux, T., Wagner, F.: Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach. Journal of Economic Dynamics & Control 32, 101–136 (2008)

    Article  MATH  MathSciNet  Google Scholar 

  3. Avery, C., Zemsky, P.: Multidimensional Uncertainty and Herd Behavior in Financial Markets. American Economic Review 88(4), 724–748 (1988)

    Google Scholar 

  4. Bischi, G.I., Gallegati, M., Gardini, L., Leombruni, R., Palestrini, A.: Herd Behavior and Nonfundamental Asset Price Fluctuations in Financial Markets. Macroeconomic Dynamics 10, 502–528 (2006)

    Article  MATH  Google Scholar 

  5. Box-Steffenmaier, J.M., Smith, R.M.: The Dynamics of Aggregate Partisanship. American Political Science Review 90, 567–580 (1996)

    Article  Google Scholar 

  6. Brock, W.A., Hommes, C.H.: Rational route to randomness. Econometrica 65, 1059–1095 (1997)

    Article  MATH  MathSciNet  Google Scholar 

  7. Brock, W.A., Hommes, C.H.: Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics & Control 22, 1235–1274 (1998)

    Article  MATH  MathSciNet  Google Scholar 

  8. Byers, D., Davidson, J., Peel, D.: Modelling Political Popularity: An Analysis of Long Range Dependence in Opinion Poll Series. Journal of the Royal Statistical Society, Series A, 471–490 (1997)

    Google Scholar 

  9. Cerqueti, R., Rotundo, G.: Microeconomic modeling of financial time series with long term memory. In: Proceedings of IEEE International Conference on Computational Intelligence for Financial Engineering (CIFEr 2003), Hong Kong, pp. 191–198 (2003)

    Google Scholar 

  10. Chen, Z., Hu, K., Carpena, P., Bernaola-Galvan, P., Stanley, H.E., Ivanov, P.C.: Effect of nonlinear filters on detrended fluctuation analysis. Physical Review E 71, 101–104 (2005)

    Google Scholar 

  11. Chiarella, C., Dieci, R., Gardini, L.: Asset price and wealth dynamics in a financial market with heterogeneous agents. Journal of Economic Dynamics & Control 30, 1755–1786 (2006)

    Article  MATH  MathSciNet  Google Scholar 

  12. Chiarella, C., Gallegati, M., Leombruni, R., Palestrini, A.: Asset Price Dynamics among Heterogeneous Interacting Agents. Computational Economics 22(2), 213–223 (2002)

    Article  Google Scholar 

  13. Chiarella, C., He, X.: Heterogeneous beliefs, risk and learning in a simple asset pricing model. Computational Economics 19, 95–132 (2002)

    Article  MATH  Google Scholar 

  14. Dittman, I., Granger, C.W.J.: Properties of nonlinear transformations of fractionally integrated processes. Journal of Econometrics 110, 113–133 (2002)

    Article  MathSciNet  Google Scholar 

  15. Föllmer, H., Horst, U., Kirman, A.: Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. Journal of Mathematical Economics 41, 123–155 (2005)

    Article  MATH  MathSciNet  Google Scholar 

  16. Granger, C.W.J.: Long memory relationships and the aggregation of dynamic models. Journal of Econometrics 14, 227–238 (1980)

    Article  MATH  MathSciNet  Google Scholar 

  17. Hommes, C.H.: Financial Markets as nonlinear adaptive evolutionary systems. Quantitative Finance 1, 149–167 (2001)

    Article  MathSciNet  Google Scholar 

  18. Hommes, C.H.: Heterogeneous agent models in economics and finance. In: Tesfatsion, L., Judd, K.L. (eds.) Handbook of Computational Economics, vol. 2, pp. 1109–1186. Elsevier, North Holland (2006)

    Google Scholar 

  19. Hurst, H.E.: Long term storage of reservoirs. Transactions of the American Society of Civil Engineers 116, 770–799 (1951)

    Google Scholar 

  20. Hurst, H.E.: A suggested statistical model of some time series that occur in nature. Nature 180, 494 (1957)

    Article  MATH  Google Scholar 

  21. Jouini, E.: Price functionals with bidask spreads: an axiomatic approach. Journal of Mathematical Economics 34, 547–558 (2000)

    Article  MATH  MathSciNet  Google Scholar 

  22. Kirman, A.P.: Heterogeneity in economics. Journal of Economic Interaction and Coordination 1, 89–117 (2006)

    Article  Google Scholar 

  23. Kirman, A.P., Teyssiére, G.: Microeconomic models for long-memory in the volatility of financial time series. Studies in Nonlinear Dynamics and Econometrics 5, 281–302 (2002)

    Article  Google Scholar 

  24. MacLeod, A.I., Hipel, K.W.: Preservation of the rescaled adjusted range, I: A reassessment of the Hurst phenomenon. Water Resources Research 14, 491–508 (1978)

    Article  Google Scholar 

  25. Madhavan, A., Smidt, S.: An analysis of changes in specialist inventories and quotations. The Journal of Finance 48, 1595–1628 (1993)

    Article  Google Scholar 

  26. Mandelbrot, B.B.: Statistical methodology for non periodic cycles: From the covariance to R/S analysis. Annals of Economic and Social Measurement, 259–290 (1972)

    Google Scholar 

  27. Mandelbrot, B.B., Wallis, J.: Noah, Joseph and operational hydrology. Water Resources Research 4, 909–918 (1968)

    Article  Google Scholar 

  28. Mandelbrot, B.B., Fischer, A., Calvet, L.: A Multifractal Model of Asset Returns. Cowles Foundation Discussion Paper 1164 (1997)

    Google Scholar 

  29. Roger, P.: Properties of bid and ask reservation prices in the rank-dependent expected utility model. Journal of Mathematical Economics 34, 269–285 (2000)

    Article  MATH  MathSciNet  Google Scholar 

  30. Rangarajan, G., Ding, M.: Integrated approach to the assessment of long range correlation in time series data. Physical Review E 61(5), 4991–5001 (2000)

    Article  Google Scholar 

  31. Simon, H.: Models of man. John Wiley & Sons, New York (1957)

    MATH  Google Scholar 

  32. Tscherning, R.: Long Memory in Foreign Exchange Rates Revisited. Journal of International Financial Markets, Institutions & Money 5, 53–78 (1995)

    Google Scholar 

  33. Willinger, W., Paxson, V., Taqqu, M.S.: Self Similarity and Heavy Tails: Structural Modeling of Network Traffic. In: A Practical Guide To Heavy Tails: Statistical Techniques and Applications. Birkhäuser, Boston (1998)

    Google Scholar 

  34. Zaffaroni, P.: Contemporaneous aggregation of linear dynamic models in large economies. Journal of Econometrics 120, 75–102 (2004)

    Article  MathSciNet  Google Scholar 

  35. Zaffaroni, P.: Memory and aggregation for models of changing volatility. Journal of Econometrics 136, 237–249 (2007a)

    Article  MathSciNet  Google Scholar 

  36. Zaffaroni, P.: Contemporaneous aggregation of GARCH processes. Journal of Time Series Analysis 28, 521–544 (2007b)

    Article  MATH  MathSciNet  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Faculty of Economics, Department of Economic and, Financial Institutions, University of Macerata, Via Crescimbeni, 20, 62100, Macerata, Italy

    Roy Cerqueti

  2. Faculty of Economics, University of Tuscia, Via del Paradiso, 47, 01100, Viterbo, Italy

    Giulia Rotundo

Authors
  1. Roy Cerqueti
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Giulia Rotundo
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. Department of Economics and Quantitative Methods, University of Catania, Corso Italia 55, 95129, Catania, Italy

    Salvatore Greco

  2. Department of Computer and Management Sciences, University of Trento, Via Inama 5, 38122, Trento, Italy

    Ricardo Alberto Marques Pereira

  3. Department of Economical and Social Sciences, University of Sannio at Benevento, Via delle Puglie, 82100, Benevento, Italy

    Massimo Squillante

  4. Machine Intelligence Institute, Iona College, 10801, New Rochelle, NY, USA

    Ronald R. Yager

  5. Systems Research Institute, Polish Academy of Sciences, ul. Newelska 6, 01–447, Warsaw, Poland

    Janusz Kacprzyk

Rights and permissions

Reprints and permissions

Copyright information

© 2010 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

Cerqueti, R., Rotundo, G. (2010). Memory Property in Heterogeneously Populated Markets. In: Greco, S., Marques Pereira, R.A., Squillante, M., Yager, R.R., Kacprzyk, J. (eds) Preferences and Decisions. Studies in Fuzziness and Soft Computing, vol 257. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-15976-3_4

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-15976-3_4

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-15975-6

  • Online ISBN: 978-3-642-15976-3

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation