On a universal mechanism for long ranged volatility correlations

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dc.creatorBouchaud, Jean-Philippe
dc.creatorGiardina, Irene
dc.creatorMezard, Marc
dc.date2000-12-09
dc.date2000-12-18
dc.date.accessioned2026-07-07T02:39:43Z
dc.date.available2026-07-07T02:39:43Z
dc.descriptionWe 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.
dc.descriptionMinor details changed, and Figure 4 improved
dc.identifierhttps://arxiv.org/abs/cond-mat/0012156
dc.identifierhttp://arxiv.org/abs/cond-mat/0012156
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/17121
dc.subjectCondensed Matter
dc.titleOn a universal mechanism for long ranged volatility correlations
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