Agent based reasoning for the non-linear stochastic models of long-range memory

Abstract

We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model is compared to the non-linear stochastic models of long-range memory in financial markets. Agent based model providing matching macroscopic description serves as a microscopic reasoning of the earlier proposed stochastic model exhibiting power law statistics.

10 pages, 3 figures

References in corpus (3)

• Critical Overview of Agent-Based Models for Economics
• Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics
• On religion and language evolutions seen through mathematical and agent based models

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