Long memory properties and agents’ behavior: an interesting connection
Carregando...
Arquivos
Data
2015
Orientador(res)
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
The aim of this work is to establish an interesting connection between the behavior of economic agents and the long memory features that generally occur in a wide set of time series found in economic/financial problems. It is shown that heterogeneity between agents, local interactions and spatial complexity plays a major role in the rise of long memory features, by means of extensive usage of computational multi-agent based models, stochastic analysis and Monte Carlo simulations. Despite the fact that heterogeneity is a widely known characteristic that affects the rise of long memory, the other two factors are not.