On a Universal Mechanism for Long Ranged Volatility Correlations
On a Universal Mechanism for Long Ranged Volatility Correlations
复制标题
论长期波动率相关性的通用机制
DOI：
10.2139/ssrn.255155
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发表时间：
2000
期刊：
影响因子：
--
通讯作者：
M. Mézard
中科院分区：
文献类型：
--
作者：
J. Bouchaud;I. Giardina;M. Mézard
我们提出了一个一般性的解释长期相关性的影响，在活动和波动的金融市场。这种解释是基于这样一个事实，即“主动”和“被动”策略之间的选择从属于随机行走过程。我们在简化的市场模型框架内，如少数人博弈模型与非活跃的战略，数值上证明了我们的情况。我们表明，真实的市场数据可以令人惊讶地很好地占这些简单的模型。
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.