Long Memory Processes and Complex Systems : An Interesting Connection

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 multi-agent based models, stochastic analysis and Monte Carlo simulations. Despite the fact that heterogeneity is a widely known characteristic that affects the rise of long memory, the other two factors are not