Learning is neither sufficient nor necessary: a dynamic agent-based model of long memory in financial markets

@inproceedings{Rayner2011LearningIN,
  title={Learning is neither sufficient nor necessary: a dynamic agent-based model of long memory in financial markets},
  author={Neil Rayner and Steve Phelps and Nick Constantinou},
  booktitle={ICEC '11},
  year={2011}
}
Financial time series data exhibits long memory phenomena, where certain behaviours in the market have a persistent influence on the market over time. It has been suggested that imitation of successful trader strategies by other less successful traders is an important factor in contributing to this persistence. We test this explanation by using an existing… CONTINUE READING