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. We show that real market data can be surprisingly well accounted for by these simple models.
On a universal mechanism for long-range volatility correlations / Bochaud, Jean Philippe; Giardina, irene rosana; Mezard, Marc. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - 1:2(2001), pp. 212-216. [10.1088/1469-7688/1/2/302]
On a universal mechanism for long-range 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. We show that real market data can be surprisingly well accounted for by these simple models.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.