The impact of imitation on long memory in an order-driven market

Blake LeBaron, Ryuichi Yamamoto

研究成果: Article査読

24 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)504-517
ページ数14
ジャーナルEastern Economic Journal
34
4
DOI
出版ステータスPublished - 2008 11 12
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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