Agent based reasoning for the non-linear stochastic models of long-range memory
Statistical Finance
2011-12-23 v2
Abstract
We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model is compared to the non-linear stochastic models of long-range memory in financial markets. Agent based model providing matching macroscopic description serves as a microscopic reasoning of the earlier proposed stochastic model exhibiting power law statistics.
Keywords
Cite
@article{arxiv.1106.2685,
title = {Agent based reasoning for the non-linear stochastic models of long-range memory},
author = {Aleksejus Kononovicius and Vygintas Gontis},
journal= {arXiv preprint arXiv:1106.2685},
year = {2011}
}
Comments
10 pages, 3 figures