2004/04/12 by Damien Challet, Tobias Galla, Challet, Damien +1
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Disordered Systems and Neural Networks (cond-mat.dis-nn) #FOS: Economics and business #FOS: Physical sciences #Statistical Mechanics (cond-mat.stat-mech) #Trading and Market Microstructure (q-fin.TR) #cond-mat.dis-nn #cond-mat.stat-mech #q-fin.TR
paper · pdf · doi:10.48550/arxiv.cond-mat/0404264
7 pages, 5 figures
openalex publication_date 2004/04/12 · arxiv created 2004/12/14 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We 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.