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.
Neural Networks for Non-independent Lotteries / Rotundo, Giulia. - STAMPA. - 257(2010), pp. 369-375. - STUDIES IN FUZZINESS AND SOFT COMPUTING.
Neural Networks for Non-independent Lotteries
ROTUNDO, Giulia
2010
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 allegati a questo prodotto
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