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.
| Original language | English |
|---|---|
| Pages (from-to) | 504-517 |
| Number of pages | 14 |
| Journal | Eastern Economic Journal |
| Volume | 34 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 2008 Nov 12 |
| Externally published | Yes |
ASJC Scopus subject areas
- Economics and Econometrics
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Cite this
LeBaron, B., & Yamamoto, R. (2008). The impact of imitation on long memory in an order-driven market. Eastern Economic Journal, 34(4), 504-517. https://doi.org/10.1057/eej.2008.32