Dynamics of Financial Time Series in an Inhomogeneous Aggregation Framework

Roy Cerqueti () and Giulia Rotundo ()
Additional contact information
Roy Cerqueti: University of Rome
Giulia Rotundo: University of Tuscia

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 67-74 from Springer

Abstract: Abstract In this paper we provide a microeconomic model to investigate the long term memory of financial time series of one share. In the framework we propose, each trader selects a volume of shares to trade and a strategy. Strategies differ for the proportion of fundamentalist/chartist evaluation of price. The share price is determined by the aggregate price. The analyses of volume distribution give an insight of imitative structure among traders. The main property of this model is the functional relation between its parameters at the micro and macro level. This allows an immediate calibration of the model to the long memory degree of the time series under examination, therefore opening the way to understanding the emergence of stylized facts of the market through opinion aggregation.

Keywords: Long memory; Financial time series; Fundamentalist agents; Chartist agents (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-88-470-0704-8_9

Ordering information: This item can be ordered from
http://www.springer.com/9788847007048

DOI: 10.1007/978-88-470-0704-8_9

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().