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 |
| Externally published | Yes |
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ASJC Scopus subject areas
- Economics and Econometrics
Cite this
The impact of imitation on long memory in an order-driven market. / LeBaron, Blake; Yamamoto, Ryuichi.
In: Eastern Economic Journal, Vol. 34, No. 4, 2008, p. 504-517.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - The impact of imitation on long memory in an order-driven market
AU - LeBaron, Blake
AU - Yamamoto, Ryuichi
PY - 2008
Y1 - 2008
N2 - 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.
AB - 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.
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UR - http://www.scopus.com/inward/citedby.url?scp=55549109070&partnerID=8YFLogxK
U2 - 10.1057/eej.2008.32
DO - 10.1057/eej.2008.32
M3 - Article
AN - SCOPUS:55549109070
VL - 34
SP - 504
EP - 517
JO - Eastern Economic Journal
JF - Eastern Economic Journal
SN - 0094-5056
IS - 4
ER -