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Activity autocorrelation in financial markets. A comparative study between several models

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Luigi Palatella
Josep Perello
Miquel Montero
Jaume Masoliver

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Abstract

We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are distributed following an asymptotic power law which ultimately recovers the Poissonian behavior. We discuss these results in comparison with ARCH models, stochastic volatility models and multi-agent models showing that ARCH and stochastic volatility models better describe the observed experimental evidences.

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File URL: http://arxiv.org/abs/cond-mat/0312489
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0312489.

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Date of creation: Dec 2003
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Publication status: Published in European Physical Journal B 38 (2004) 671-677
Handle: RePEc:arx:papers:cond-mat/0312489

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