IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v1y2001i2p212-216.html
   My bibliography  Save this article

On a universal mechanism for long-range volatility correlations

Author

Listed:
  • J-P. Bouchaud
  • I. Giardina
  • M. Mzard

Abstract

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.

Suggested Citation

  • J-P. Bouchaud & I. Giardina & M. Mzard, 2001. "On a universal mechanism for long-range volatility correlations," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 212-216.
    • Handle: RePEc:taf:quantf:v:1:y:2001:i:2:p:212-216
    DOI: 10.1088/1469-7688/1/2/302
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1088/1469-7688/1/2/302
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1088/1469-7688/1/2/302?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. J. Coulon & Y. Malevergne, 2011. "Heterogeneous expectations and long-range correlation of the volatility of asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1329-1356, November.
    2. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
    3. Marco Airoldi & Vito Antonelli & Bruno Bassetti & Andrea Martinelli & Marco Picariello, 2004. "Long Range Interaction Generating Fat-Tails in Finance," GE, Growth, Math methods 0404006, University Library of Munich, Germany, revised 27 Apr 2004.
    4. Katahira, Kei & Chen, Yu & Akiyama, Eizo, 2021. "Self-organized Speculation Game for the spontaneous emergence of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:1:y:2001:i:2:p:212-216. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.