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- W4308049284 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." @default.
- W4308049284 created "2022-11-07" @default.
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- W4308049284 date "2000-12-09" @default.
- W4308049284 modified "2023-10-06" @default.
- W4308049284 title "On a universal mechanism for long ranged volatility correlations" @default.
- W4308049284 doi "https://doi.org/10.48550/arxiv.cond-mat/0012156" @default.
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