Journal on Policy and Complex Systems • Volume 4 , Number 1 • Spring 2018
Long Memory Properties and Complex Systems : An Interesting Connection
Fernando Fernandes Neto 1
PhD , Polytechnic School — Systems Engineering Program University of São Paulo Economic Advisor — São Paulo State Government Secretariat
nando . fernandes . neto @ gmail . com
Claudio Garcia
Professor at Polytechnic School — Systems Engineering Program University of São Paulo
clgarcia @ lac . usp . br
Abstract
The aim of this work is to establish an interesting connection between the behavior of economic agents by means of complex systems approach and the long memory features that generally occur in a wide set of time series found in economic / financial problems . It is shown that heterogeneity between agents , local interactions , and spatial complexity plays a major role in the rise of long memory features , by means of extensive usage of computational multiagent-based models , stochastic analysis , and Monte Carlo simulations . Despite the fact that these results are already known in the stochastic processes literature , the authors aim to reanalyze them under the perspective of complex systems features , which may enable complex systems practitioners to obtain interesting insights regarding policymaking and discussing long memory properties that may affect them .
Keywords : long memory , complex systems , multi-agent models , Monte Carlo Analysis
1 Contact Author
9 doi : 10.18278 / jpcs . 4.1.2