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.
2010
Preferences and Decisions
978-3-642-15975-6
long memory; financial market; aggregation framework
02 Pubblicazione su volume::02a Capitolo o Articolo
Neural Networks for Non-independent Lotteries / Rotundo, Giulia. - STAMPA. - 257(2010), pp. 369-375. - STUDIES IN FUZZINESS AND SOFT COMPUTING.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/625613
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