On a universal mechanism for long-range volatility correlations
On a universal mechanism for long-range volatility correlations
复制标题
长期波动相关性的通用机制
DOI：
10.1088/1469-7688/1/2/302
复制
发表时间：
2001
影响因子：
1.3
通讯作者：
M. Mzard
中科院分区：
文献类型：
--
作者：
J. Bouchaud;I. Giardina;M. Mzard
我们提出了对金融市场活动和波动性的长期相关效应的一般解释。这种解释基于以下事实：“主动”和“非主动”策略之间的选择服从于类似随机游走的过程。我们在简化市场模型的框架中以数字方式展示了我们的场景，例如具有不活跃策略的少数博弈模型。我们证明，这些简单的模型可以很好地解释真实的市场数据。
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.