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
| Authors | Cerqueti, 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 |
| Year | 2012 |
| Journal | International Journal of Intelligent Systems |
| Journal citation | 27 (2), pp. 176-187 |
| Publisher | Wiley |
| ISSN | 0884-8173 |
| Digital Object Identifier (DOI) | https://doi.org/10.1002/int.21519 |
| Publication dates | |
| Feb 2012 | |
| Online | 28 Dec 2011 |
| Publication process dates | |
| Accepted | 01 Dec 2011 |
| Deposited | 07 Apr 2020 |
| Accepted author manuscript | License File Access Level Open |
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