The role of diversity in persistence aggregation
β Scribed by Roy Cerqueti; Giulia Rotundo
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 100 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0884-8173
No coin nor oath required. For personal study only.
β¦ Synopsis
This paper deals with the theoretical analysis of the long-term memory property of time series generated by the aggregation of heterogeneous terms. The diversity is captured by the different features, regarding the persistence of each component. It is shown that the memory of the aggregation is driven by the one related to some key components. The argument is carried out by developing an equilibrium model for asset prices in a financial market with heterogeneous agents.
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