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

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

2011-06-14

arxiv.org/abs/1106.2685v2

Physica A 391 (2012), pp. 1309-1314

Economy

Quantitative Finance

Statistical Finance

10 pages, 3 figures

Scientific paper

10.1016/j.physa.2011.08.061

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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