This paper deals with the theoretical analysis of the long-term memory property of time series generated by the aggregation of heterogeneous terms. The diversity is captured by the different features, regarding the persistence of each component. It is shown that the memory of the aggregation is driven by the one related to some key components. The argument is carried out by developing an equilibrium model for asset prices in a financial market with heterogeneous agents.
The Role of Diversity in Persistence Aggregation / Cerqueti, R.; Rotundo, Giulia. - In: INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS. - ISSN 1098-111X. - STAMPA. - 27:(2012), pp. 176-187. [10.1002/int.21519]
The Role of Diversity in Persistence Aggregation
R. Cerqueti;ROTUNDO, Giulia
2012
Abstract
This paper deals with the theoretical analysis of the long-term memory property of time series generated by the aggregation of heterogeneous terms. The diversity is captured by the different features, regarding the persistence of each component. It is shown that the memory of the aggregation is driven by the one related to some key components. The argument is carried out by developing an equilibrium model for asset prices in a financial market with heterogeneous agents.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
