Microscopic models for long ranged volatility correlations
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.
Year of publication: |
2001
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Authors: | Giardina, Irene ; Bouchaud, Jean-Philippe ; Mézard, Marc |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 299.2001, 1, p. 28-39
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Publisher: |
Elsevier |
Saved in:
Online Resource
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