On a universal mechanism for long ranged volatility correlations - Archive ouverte HAL
Article Dans Une Revue Quantitative Finance Année : 2001

On a universal mechanism for long ranged volatility correlations

Résumé

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.

Dates et versions

hal-00002399 , version 1 (27-01-2005)

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Citer

Jean-Philippe Bouchaud, Irene Giardina, Marc Mézard. On a universal mechanism for long ranged volatility correlations. Quantitative Finance, 2001, 1, pp.212-216. ⟨hal-00002399⟩
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