Titlebook: Long Memory in Economics; Gilles Teyssière,Alan P. Kirman Book 2007 Springer-Verlag Berlin Heidelberg 2007 Long Memory.Stochastic Processe

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A Minimal Noise Trader Model with Realistic Time Series Propertiesible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often limits the analytical approach to the dynamics of these models. In this paper we show that even a very simple model of a financial market with heterogene

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Long Memory and Hysteresistence in the series like the long memory effect..Nevertheless, the long term behavior of the hysteretic series is very different from the long term behavior of the long memory series: the hysteretic series are not mean reverting whereas the long memory series are (if correctly differencied). Since t

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