Microscopic Models for Long Ranged Volatility Correlations - Archive ouverte HAL
Article Dans Une Revue Physica A: Statistical Mechanics and its Applications Année : 2001

Microscopic Models 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, 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.

Dates et versions

hal-00002406 , version 1 (27-01-2005)

Identifiants

Citer

Irene Giardina, Jean-Philippe Bouchaud, Marc Mézard. Microscopic Models for Long Ranged Volatility Correlations. Physica A: Statistical Mechanics and its Applications, 2001, 299, pp.28-39. ⟨hal-00002406⟩
114 Consultations
0 Téléchargements

Altmetric

Partager

More