The Impact of Imitation on Long Memory in an Order-Driven Market

Blake Lebaron () and Ryuichi Yamamoto ()

Eastern Economic Journal, 2008, vol. 34, issue 4, 504-517

Abstract: Recent research has documented that learning and evolution are capable of generating many well-known features in financial times series. We extend the results of LeBaron and Yamamoto (2007) to explore the impact of varying amounts of imitation and agent learning in a simple order-driven market. We show that in our framework, imitation is critical to the generation of long memory persistence in many financial time series. This shows that imitation across trader behavior is probably crucial for understanding the dynamics of prices and trading volume. Eastern Economic Journal (2008) 34, 504–517. doi:10.1057/eej.2008.32

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://www.palgrave-journals.com/eej/journal/v34/n4/pdf/eej200832a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/eej/journal/v34/n4/full/eej200832a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:easeco:v:34:y:2008:i:4:p:504-517

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/41302

Access Statistics for this article

Eastern Economic Journal is currently edited by Allan Zebedee and Cynthia Bansak

More articles in Eastern Economic Journal from Palgrave Macmillan, Eastern Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().