The role of diversity in persistence aggregation

Journal article

Cerqueti, R and Rotundo, G (2012). The role of diversity in persistence aggregation. International Journal of Intelligent Systems. 27 (2), pp. 176-187. https://doi.org/10.1002/int.21519
AuthorsCerqueti, R and Rotundo, G
Abstract

This is the pre-peer reviewed version of the following article: Cerqueti, R. and Rotundo, G. (2012), The role of diversity in persistence aggregation. Int. J. Intell. Syst., 27: 176-187, which has been published in final form at doi:10.1002/int.21519. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions

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.

Year2012
JournalInternational Journal of Intelligent Systems
Journal citation27 (2), pp. 176-187
PublisherWiley
ISSN0884-8173
Digital Object Identifier (DOI)https://doi.org/10.1002/int.21519
Publication dates
PrintFeb 2012
Online28 Dec 2011
Publication process dates
Accepted01 Dec 2011
Deposited07 Apr 2020
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Cerqueti, R, Coppier, R and Piga, G (2012). Corruption, growth and ethnic fractionalization: a theoretical model. Journal of Economics. 106 (2), pp. 153-181. https://doi.org/10.1007/s00712-011-0253-5
Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach
Castellano, R and Cerqueti, R (2012). Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach. Applied Mathematics and Computation. 218 (12), pp. 6887-6898. https://doi.org/10.1016/j.amc.2011.12.065
Why is the Tax Evasion so Persistent?
Cerqueti, R and Bovi, M (2011). Why is the Tax Evasion so Persistent? in: Tavidze, A (ed.) Progress in Economics Nova Science Publishers, Inc..
The optimal bid/ask spread in a Specialist System
Castellano, R and Cerqueti, R (2011). The optimal bid/ask spread in a Specialist System. Economic Modelling. 28 (5), pp. 2247-2253. https://doi.org/10.1016/j.econmod.2011.06.019
Economic growth, corruption and tax evasion
Cerqueti, R and Coppier, R (2011). Economic growth, corruption and tax evasion. Economic Modelling. 28 (1-2), pp. 489-500. https://doi.org/10.1016/j.econmod.2010.07.006
Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels
Cerqueti, R and Costantini, M (2011). Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels. Journal of Banking & Finance. 35 (10), pp. 2598-2605. https://doi.org/10.1016/j.jbankfin.2011.02.011
Memory Property in Heterogeneously Populated Markets
Cerqueti, R and Rotundo, G (2010). Memory Property in Heterogeneously Populated Markets. in: Greco, S, Marques Pereira, RA, Squillante, M, Yager, RR and Kacprzyk, J (ed.) Preferences and Decisions - Studies in Fuzziness and Soft Computing Berlin Springer Verlag. pp. 53-69
Firms clustering in presence of technological renewal processes
Cerqueti, R and Rotundo, G (2010). Firms clustering in presence of technological renewal processes. in: Puu, T and Panchuk, A (ed.) Nonlinear economic dynamics Nova Science Publishers, Inc..
Light Stocks and Wealth Allocation
Cerqueti, R and Castellano, R (2010). Light Stocks and Wealth Allocation. in: Kasımbeyli, R, Dinçer, C, Özpeynirci, S and Sakalauskas, L (ed.) 24th mini euro conference on continuous optimization and information based technologies in the financial sector - MEC EUROPT 2010: selected papers Vilnius "Technika".
Some Nonparametric Asymptotic Results for a Class of Stochastic Processes
Cerqueti, R and Costantini, M (2010). Some Nonparametric Asymptotic Results for a Class of Stochastic Processes. Communications in Statistics - Theory and Methods. 39 (14), pp. 2552-2560. https://doi.org/10.1080/03610920903061021
Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates
Rotundo, G and Cerqueti, R (2010). Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates. New Mathematics and Natural Computation. 06 (01), pp. 109-118. https://doi.org/10.1142/s1793005710001633
A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs
Brianzoni, S, Cerqueti, R and Michetti, E (2010). A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs. Computational Economics. 35 (2), pp. 165-188. https://doi.org/10.1007/s10614-009-9189-z
A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case
Cerqueti, R, Costantini, M and Lupi, C (2009). A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case. in: Martinez, WL (ed.) Proceedings of the Joint Statistical Meeting (Business and Economic Statistics Section), 1-6 August 2009, Washington DC, USA American Statistical Association.
Dynamic Programming via Measurable Selection
Cerqueti, R (2009). Dynamic Programming via Measurable Selection. Pacific Journal of Optimization. 5 (1), pp. 169-181.
Tax revenues, fiscal corruption and “shame” costs
Cerqueti, R and Coppier, R (2009). Tax revenues, fiscal corruption and “shame” costs. Economic Modelling. 26 (6), pp. 1239-1244. https://doi.org/10.1016/j.econmod.2009.06.005
A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
Cerqueti, R, Foschi, R and Spizzichino, F (2009). A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts. Insurance: Mathematics and Economics. 45 (1), pp. 59-64. https://doi.org/10.1016/j.insmatheco.2009.03.001
Companies' decisions for profit maximization: a structural model
Cerqueti, R and Rotundo, G. (2009). Companies' decisions for profit maximization: a structural model. Applied Mathematical Sciences. 3 (27), pp. 1327-1340.
Asymptotic solutions of a generalized eigenvalue problem
Cerqueti, R. and Costantini, M. (2009). Asymptotic solutions of a generalized eigenvalue problem. Applied Mathematical Sciences. 3 (60), pp. 2985-2999.
On the asymptotic behaviour of random matrices in a multivariate statistical model
Cerqueti, R and Costantini, M (2008). On the asymptotic behaviour of random matrices in a multivariate statistical model. Statistics & Probability Letters. 78 (14), pp. 2039-2045. https://doi.org/10.1016/j.spl.2008.01.051
Dynamics of financial time series in an inhomogeneous framework
Cerqueti, R and Rotundo, G (2007). Dynamics of financial time series in an inhomogeneous framework. in: Sibillo, M and Perna, C (ed.) Mathematical and statistical methods in insurance and finance Berlin Springer Verlag. pp. 67-74
Productivity and costs for firms in presence of technology renewal processes
Cerqueti, R and Rotundo, G (2007). Productivity and costs for firms in presence of technology renewal processes. International Transactions in Operational Research. 14 (6), pp. 521-534. https://doi.org/10.1111/j.1475-3995.2007.00611.x
Microeconomic modeling of financial time series with long term memory
Cerqueti, R and Rotundo, G (2003). Microeconomic modeling of financial time series with long term memory. 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. Proceedings. IEEE. https://doi.org/10.1109/cifer.2003.1196260