Microscopic models for long ranged volatility correlations

Irene Giardina, Jean-Philippe Bouchaud and Marc Mezard
Additional contact information
Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management
Marc Mezard: Universite Paris Sud (Orsay)

No 500024, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

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.

JEL-codes: G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-fin and nep-fmk
Date: 2001-01
View list of references

Published in Physica A 299 (1-2) (2001) pp. 28-39.

Downloads: (external link)
http://www.cfm.fr/papers/physica299_28.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:sfi:sfiwpa:500024

Access Statistics for this paper

More papers in Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management
Address: 6 boulevard Haussmann, 75009 Paris, FRANCE
Contact information at EDIRC.
Series data maintained by Marc Potters ().