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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/78855


    Title: Symposium on Agent-Based Computational Economics: The Impact of Imitation on Long Memory in an Order-Driven Market
    Authors: LeBaron, Blake;Yamamoto, Ryuichi
    山本竜市
    Contributors: 國貿系
    Keywords: learning;evolution;market microstructure;long memory
    Date: 2008
    Issue Date: 2015-10-02 16:43:42 (UTC+8)
    Abstract: 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.
    Relation: Eastern Economic Journal, 34(4), 504-517
    Data Type: article
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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