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    題名: The Impact of Imitation on Long Memory in an Order-Driven Market
    作者: LeBaron, Blake;Yamamoto, Ryuichi
    山本竜市
    貢獻者: 國貿系
    關鍵詞: evolution;learning;long memory;market microstructure
    日期: 2008
    上傳時間: 2015-09-03 14:56:31 (UTC+8)
    摘要: Recent research has documented that learning and evolution are capable of generating many well-known features in financial times series. We extend the results of LeBaron and Yamamoto (2007) to explore the impact of varying amounts of imitation and agent learning in a simple order-driven market. We show that in our framework, imitation is critical to the generation of long memory persistence in many financial time series. This shows that imitation across trader behavior is probably crucial for understanding the dynamics of prices and trading volume.
    關聯: Eastern Economic Journal, 34(4), 504-517
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1057/eej.2008.32
    DOI: 10.1057/eej.2008.32
    顯示於類別:[國際經營與貿易學系 ] 期刊論文

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