Irene Giardina 1, Jean-Philippe Bouchaud 2, 3, Marc Mézard 4
Physica A 299 (2001) 28-39
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.
- 1. Service de Physique Théorique (SPhT),
CNRS : URA2306 – CEA : DSM/SPHT - 2. Service de physique de l’état condensé (SPEC),
CNRS : URA2464 – CEA : DSM/IRAMIS - 3. Science & Finance,
Sciences et Finances - 4. Laboratoire de Physique Théorique et Modèles Statistiques (LPTMS),
CNRS : UMR8626 – Université Paris XI – Paris Sud