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Memory Property in Heterogeneously Populated Markets

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Preferences and Decisions

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

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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.

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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
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  2. Giulia Rotundo
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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

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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

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  • 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

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