Long memory properties and agents’ behavior: an interesting connection

Detalhes bibliográficos
Autor(a) principal: Fernandes Neto, Fernando
Data de Publicação: 2015
Outros Autores: Garcia, Claudio
Tipo de documento: Artigo de conferência
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/18888
Resumo: The aim of this work is to establish an interesting connection between the behavior of economic agents and the long memory features that generally occur in a wide set of time series found in economic/financial problems. It is shown that heterogeneity between agents, local interactions and spatial complexity plays a major role in the rise of long memory features, by means of extensive usage of computational multi-agent based models, stochastic analysis and Monte Carlo simulations. Despite the fact that heterogeneity is a widely known characteristic that affects the rise of long memory, the other two factors are not.
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spelling Fernandes Neto, FernandoGarcia, ClaudioEscolas::EAESP2017-09-30T15:18:02Z2017-09-30T15:18:02Z2015http://hdl.handle.net/10438/18888The aim of this work is to establish an interesting connection between the behavior of economic agents and the long memory features that generally occur in a wide set of time series found in economic/financial problems. It is shown that heterogeneity between agents, local interactions and spatial complexity plays a major role in the rise of long memory features, by means of extensive usage of computational multi-agent based models, stochastic analysis and Monte Carlo simulations. Despite the fact that heterogeneity is a widely known characteristic that affects the rise of long memory, the other two factors are not.engCentro de Estudos em Finanças (GVcef)Long memoryAgent-based modelsComplexityHeterogeneityEconomiaFinanças - Modelos econométricosInvestimentosLong memory properties and agents’ behavior: an interesting connectioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTGVcef_Fernandes Neto; Garcia.pdf.txtGVcef_Fernandes Neto; Garcia.pdf.txtExtracted texttext/plain42330https://repositorio.fgv.br/bitstreams/daa750e3-2b18-49ae-a2bb-b32aea7025a2/downloade1b57cc3485c7812a3cc9cec5c457ac3MD55ORIGINALGVcef_Fernandes Neto; Garcia.pdfGVcef_Fernandes Neto; 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dc.title.eng.fl_str_mv Long memory properties and agents’ behavior: an interesting connection
title Long memory properties and agents’ behavior: an interesting connection
spellingShingle Long memory properties and agents’ behavior: an interesting connection
Fernandes Neto, Fernando
Long memory
Agent-based models
Complexity
Heterogeneity
Economia
Finanças - Modelos econométricos
Investimentos
title_short Long memory properties and agents’ behavior: an interesting connection
title_full Long memory properties and agents’ behavior: an interesting connection
title_fullStr Long memory properties and agents’ behavior: an interesting connection
title_full_unstemmed Long memory properties and agents’ behavior: an interesting connection
title_sort Long memory properties and agents’ behavior: an interesting connection
author Fernandes Neto, Fernando
author_facet Fernandes Neto, Fernando
Garcia, Claudio
author_role author
author2 Garcia, Claudio
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EAESP
dc.contributor.author.fl_str_mv Fernandes Neto, Fernando
Garcia, Claudio
dc.subject.eng.fl_str_mv Long memory
Agent-based models
Complexity
Heterogeneity
topic Long memory
Agent-based models
Complexity
Heterogeneity
Economia
Finanças - Modelos econométricos
Investimentos
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Finanças - Modelos econométricos
Investimentos
description The aim of this work is to establish an interesting connection between the behavior of economic agents and the long memory features that generally occur in a wide set of time series found in economic/financial problems. It is shown that heterogeneity between agents, local interactions and spatial complexity plays a major role in the rise of long memory features, by means of extensive usage of computational multi-agent based models, stochastic analysis and Monte Carlo simulations. Despite the fact that heterogeneity is a widely known characteristic that affects the rise of long memory, the other two factors are not.
publishDate 2015
dc.date.issued.fl_str_mv 2015
dc.date.accessioned.fl_str_mv 2017-09-30T15:18:02Z
dc.date.available.fl_str_mv 2017-09-30T15:18:02Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/18888
url http://hdl.handle.net/10438/18888
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Centro de Estudos em Finanças (GVcef)
publisher.none.fl_str_mv Centro de Estudos em Finanças (GVcef)
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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