Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes remarkably close to that of real data at a daily frequency. The note argues that these long memory effects are to be ascribed to the stochastic specification of the price equation, which given the wide fluctuations in these models unduly fails to normalize the price shocks. Under an appropriate respecification, the long memory completely disappears.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 0431-880 3282
Fax: 0431-880 3150
Web page: http://www.vwl.uni-kiel.de/en
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gaunersdorfer, A. & Hommes, C.H., 2005.
"A nonlinear structural model for volatility clustering,"
CeNDEF Working Papers
05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Gaunersdorfer, A. & Hommes, C.H., 2000. "A Nonlinear Structural Model for Volatility Clustering," CeNDEF Working Papers 00-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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.
- Amilon, Henrik, 2008.
"Estimation of an adaptive stock market model with heterogeneous agents,"
Journal of Empirical Finance,
Elsevier, vol. 15(2), pages 342-362, March.
- Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
- Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
- Manzan, Sebastiano & Westerhoff, Frank, 2005.
"Representativeness of news and exchange rate dynamics,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 29(4), pages 677-689, April.
- Manzan, S. & Westerhoff, F., 2002. "Representativeness of News and Exchange Rate Dynamics," CeNDEF Working Papers 02-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
- Beja, Avraham & Goldman, M Barry, 1980. " On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-48, May.
- repec:zbw:cauewp:7366 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:zbw:cauewp:7368. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.