We propose a general interpretation for long-range correlation effects in, the activity and volatility of financial markets. This interpretation is based on the fact that the choice between 'active' and 'inactive' strategies is subordinated to random-walk like processes. We numerically demonstrate our scenario in the framework of simplified market models, such as the Minority Game model with an inactive strategy, or a more sophisticated version that includes some price dynamics. We show that real market data can be surprisingly well accounted for by these simple models. (C) 2001 Elsevier Science B.V. All rights reserved.
Microscopic models for long ranged volatility correlations / Giardina, irene rosana; Bouchaud, Jean Philippe; Mezard, Marc. - In: PHYSICA. A. - ISSN 0378-4371. - 299:(2001), pp. 28-39. (Intervento presentato al convegno NATO Advanced Research Workshop on Application of Physics in Economic Modelling tenutosi a PRAGUE, CZECH REPUBLIC nel FEB 08-10, 2001) [10.1016/S0378-4371(01)00280-1].
Microscopic models for long ranged volatility correlations
GIARDINA, irene rosana;
2001
Abstract
We propose a general interpretation for long-range correlation effects in, the activity and volatility of financial markets. This interpretation is based on the fact that the choice between 'active' and 'inactive' strategies is subordinated to random-walk like processes. We numerically demonstrate our scenario in the framework of simplified market models, such as the Minority Game model with an inactive strategy, or a more sophisticated version that includes some price dynamics. We show that real market data can be surprisingly well accounted for by these simple models. (C) 2001 Elsevier Science B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
