The Impact of Imitation on Long-memory in an Order Driven Market
نویسندگان
چکیده
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 & 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. JEL Classification: G12, G14, D83
منابع مشابه
The Impact of Macroeconomic Indicators on the Nonperforming Loans (Case of Iran)
Financial statements of nineteen mature banks have been patronized to examine the impact of macroeconomic indicators and bank-specific determinants on the NPLs ratio through Quantile and Panel Data regression approaches. The impact of macroeconomic indicators on credit risk is statistically estimated for banking network via two directions. First, different quantiles are econometrically calculat...
متن کاملEmergence of long memory in stock volatilities from a modified Mike-Farmer model
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the inverse cubic law of returns and the diffusive behavior of stock prices at the transaction level. However, the volatilities in the MF model do not show sound long memory. We propose a modified version of the MF model by including...
متن کاملLong Memory in Stock Returns: A Study of Emerging Markets
The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to ...
متن کاملThe effect of benefiting from restoration knowledge in collective spaces with a historical context in order to promote the sense of identity among citizens (A Case Study: Tehran Market)
Abstract Urban historical spaces are very important in terms of creating and identifying, manifesting culture, beliefs and behaviors and social relations. Today, with the rapid expansion of urbanization, the old spaces of the city, which are considered as the initial skeleton of the city, have received less attention and have become socially vulnerable tissues. Collective spaces are places of ...
متن کاملDoes Market Potential Matter? Evidence on the Impact of Market Potential on Economic Growth in Iranian Provinces
T he market potential is an indicator showing the level of market access and national demand for products of a region. The aim of this study is to study the effect of market potential on regional economic growth in 28 Iranian provinces over the years 2001–2011. In order to do that, a model of regional growth was estimated by using Spatial Dynamic Panel Data technique. This technique ...
متن کامل