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.

Publication dates
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 agents.
Year	2012
Journal	International Journal of Intelligent Systems
Journal citation	27 (2), pp. 176-187
Publisher	Wiley
ISSN	0884-8173
Digital Object Identifier (DOI)	doi:10.1002/int.21519
Print	Feb 2012
Online	28 Dec 2011
Publication process dates
Accepted	01 Dec 2011
Deposited	07 Apr 2020
Accepted author manuscript	IntelligSystems_21052011.pdf License CC BY-NC 4.0 File Access Level Open

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