Price return auto-correlation and predictability in agent-based models of financial markets

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dc.creatorChallet, Damien
dc.creatorGalla, Tobias
dc.date2004-04-12
dc.date2004-12-14
dc.date.accessioned2026-07-07T12:06:57Z
dc.date.available2026-07-07T12:06:57Z
dc.descriptionWe demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use minority games to illustrate that a vanishing price return auto-correlation function does not necessarily imply market efficiency. On the contrary, we stress the difference between correlations measured conditionally and unconditionally on external patterns.
dc.description7 pages, 5 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0404264
dc.identifierhttp://arxiv.org/abs/cond-mat/0404264
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208807
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectTrading and Market Microstructure
dc.titlePrice return auto-correlation and predictability in agent-based models of financial markets
dc.typetext

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