2000/12/09 by Jean-Philippe Bouchaud, Bouchaud, Jean-Philippe, Irene Giardina +3
Physics and Astronomy · #Condensed Matter (cond-mat) #FOS: Physical sciences #cond-mat
paper · pdf · doi:10.48550/arxiv.cond-mat/0012156
Minor details changed, and Figure 4 improved
arxiv created 2000/12/18 · arxiv updated 2009/11/30
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. We show that real market data can be surprisingly well accounted for by these simple models.