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The role of diversity in persistence aggregation
Author(s) -
Cerqueti Roy,
Rotundo Giulia
Publication year - 2012
Publication title -
international journal of intelligent systems
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.291
H-Index - 87
eISSN - 1098-111X
pISSN - 0884-8173
DOI - 10.1002/int.21519
Subject(s) - persistence (discontinuity) , argument (complex analysis) , component (thermodynamics) , diversity (politics) , computer science , property (philosophy) , asset (computer security) , key (lock) , long memory , term (time) , econometrics , economics , computer security , epistemology , political science , engineering , law , philosophy , geotechnical engineering , volatility (finance) , biochemistry , chemistry , physics , quantum mechanics , thermodynamics
This paper deals with the theoretical analysis of the long‐term memory property of time series generated by the aggregation of heterogeneous terms. The diversity is captured by the different features, regarding the persistence of each component. It is shown that the memory of the aggregation is driven by the one related to some key components. The argument is carried out by developing an equilibrium model for asset prices in a financial market with heterogeneous agents. © 2011 Wiley Periodicals, Inc.