FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2790110130> ?p ?o ?g. }

• W2790110130 endingPage "51" @default.
• W2790110130 startingPage "38" @default.
• W2790110130 abstract "During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the financial market as an interaction of two types of boundedly rational investors — fundamentalists and chartists. We examine the dynamics of the market price and market behavior, which depend on investors' behavior and the interaction of the two types of investors. Numerical simulations of the corresponding stochastic model demonstrate that the model is able to replicate the stylized facts of financial time series, in particular the long-term dependence (long memory) of asset return volatilities. We further investigate the source of the long memory according to asset pricing mechanism of our model, and provide evidences of long memory by applying the modified R/S analysis. Our results demonstrate that the key parameter that has impact on the long memory is the speed of the price adjustment of the market maker at the equilibrium of demand and supply." @default.
• W2790110130 created "2018-03-29" @default.
• W2790110130 creator A5021037658 @default.
• W2790110130 creator A5047795725 @default.
• W2790110130 creator A5074564038 @default.
• W2790110130 date "2018-07-01" @default.
• W2790110130 modified "2023-09-28" @default.
• W2790110130 title "Long memory in financial markets: A heterogeneous agent model perspective" @default.
• W2790110130 cites W1539696634 @default.
• W2790110130 cites W1552362148 @default.
• W2790110130 cites W1642983364 @default.
• W2790110130 cites W1964179522 @default.
• W2790110130 cites W1967071544 @default.
• W2790110130 cites W1969731085 @default.
• W2790110130 cites W1970495888 @default.
• W2790110130 cites W1972773513 @default.
• W2790110130 cites W1974765950 @default.
• W2790110130 cites W1982696788 @default.
• W2790110130 cites W2006128341 @default.
• W2790110130 cites W2013157753 @default.
• W2790110130 cites W2021537912 @default.
• W2790110130 cites W2039812392 @default.
• W2790110130 cites W2043329227 @default.
• W2790110130 cites W2051927557 @default.
• W2790110130 cites W2054674045 @default.
• W2790110130 cites W2066176347 @default.
• W2790110130 cites W2076362143 @default.
• W2790110130 cites W2079940549 @default.
• W2790110130 cites W2102540642 @default.
• W2790110130 cites W2104154419 @default.
• W2790110130 cites W2112831694 @default.
• W2790110130 cites W2119335483 @default.
• W2790110130 cites W2121081824 @default.
• W2790110130 cites W2127165238 @default.
• W2790110130 cites W2129160326 @default.
• W2790110130 cites W2130089477 @default.
• W2790110130 cites W2135394257 @default.
• W2790110130 cites W2145930759 @default.
• W2790110130 cites W2158294425 @default.
• W2790110130 cites W2159791910 @default.
• W2790110130 cites W2163289152 @default.
• W2790110130 cites W2341760625 @default.
• W2790110130 cites W2562457029 @default.
• W2790110130 cites W2581644411 @default.
• W2790110130 cites W3083544749 @default.
• W2790110130 cites W3121379909 @default.
• W2790110130 cites W3122066446 @default.
• W2790110130 cites W3123732622 @default.
• W2790110130 cites W3123779394 @default.
• W2790110130 cites W3123804200 @default.
• W2790110130 cites W3124293414 @default.
• W2790110130 cites W3124655134 @default.
• W2790110130 cites W3124712463 @default.
• W2790110130 cites W3125371316 @default.
• W2790110130 cites W3125378300 @default.
• W2790110130 doi "https://doi.org/10.1016/j.irfa.2018.04.001" @default.
• W2790110130 hasPublicationYear "2018" @default.
• W2790110130 type Work @default.
• W2790110130 sameAs 2790110130 @default.
• W2790110130 citedByCount "9" @default.
• W2790110130 countsByYear W27901101302019 @default.
• W2790110130 countsByYear W27901101302020 @default.
• W2790110130 countsByYear W27901101302021 @default.
• W2790110130 countsByYear W27901101302022 @default.
• W2790110130 countsByYear W27901101302023 @default.
• W2790110130 crossrefType "journal-article" @default.
• W2790110130 hasAuthorship W2790110130A5021037658 @default.
• W2790110130 hasAuthorship W2790110130A5047795725 @default.
• W2790110130 hasAuthorship W2790110130A5074564038 @default.
• W2790110130 hasBestOaLocation W27901101302 @default.
• W2790110130 hasConcept C10138342 @default.
• W2790110130 hasConcept C106159729 @default.
• W2790110130 hasConcept C12713177 @default.
• W2790110130 hasConcept C133425853 @default.
• W2790110130 hasConcept C139719470 @default.
• W2790110130 hasConcept C149782125 @default.
• W2790110130 hasConcept C154945302 @default.
• W2790110130 hasConcept C162324750 @default.
• W2790110130 hasConcept C175444787 @default.
• W2790110130 hasConcept C181236170 @default.
• W2790110130 hasConcept C19244329 @default.
• W2790110130 hasConcept C2780873155 @default.
• W2790110130 hasConcept C31772880 @default.
• W2790110130 hasConcept C38652104 @default.
• W2790110130 hasConcept C38935604 @default.
• W2790110130 hasConcept C41008148 @default.
• W2790110130 hasConcept C76178495 @default.
• W2790110130 hasConcept C96016098 @default.
• W2790110130 hasConceptScore W2790110130C10138342 @default.
• W2790110130 hasConceptScore W2790110130C106159729 @default.
• W2790110130 hasConceptScore W2790110130C12713177 @default.
• W2790110130 hasConceptScore W2790110130C133425853 @default.
• W2790110130 hasConceptScore W2790110130C139719470 @default.
• W2790110130 hasConceptScore W2790110130C149782125 @default.
• W2790110130 hasConceptScore W2790110130C154945302 @default.
• W2790110130 hasConceptScore W2790110130C162324750 @default.
• W2790110130 hasConceptScore W2790110130C175444787 @default.
• W2790110130 hasConceptScore W2790110130C181236170 @default.

• next