A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY

DOI10.1017/S1365100506060299zbMath1144.91014MaRDI QIDQ5439973

Simone Alfarano, Thomas C. H. Lux

Publication date: 30 January 2008

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

zbMATH Keywords

Markov chain; heterogeneous agents; long memory; power law; financial market model; herd behavior; volatility clustering; fat tails

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B26: Auctions, bargaining, bidding and selling, and other market models

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