Technical trading can induce long-run memory in financial markets

Jose Alvarez-Ramirez, Angel Soriano, Carlos Ibarra-Valdez and Myriam Cisneros

Physica A: Statistical Mechanics and its Applications, 2002, vol. 316, issue 1, 483-495

Abstract: A simple agent-based model is used to propose an explanation of the source of long-run memory in financial markets. It is shown that the resulting model is equivalent to a neutral-type differential equation in the price dynamics, which displays a persistence property that can be related to memory effects.

Keywords: Econophysics; Long-run memory; Financial markets (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:316:y:2002:i:1:p:483-495

DOI: 10.1016/S0378-4371(02)01201-3

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