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Agent based reasoning for the non-linear stochastic models of long-range memory

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  • Aleksejus Kononovicius
  • Vygintas Gontis
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    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.

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    File URL: http://arxiv.org/pdf/1106.2685
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1106.2685.

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    Date of creation: Jun 2011
    Date of revision: Aug 2011
    Publication status: Published in Physica A 391 (2012), pp. 1309-1314
    Handle: RePEc:arx:papers:1106.2685

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    Web page: http://arxiv.org/

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    1. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
    2. Lux, T. & M. Marchesi, . "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
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