Microscopic models for long ranged volatility correlations

DOI10.1016/S0378-4371(01)00280-1zbMath0974.91018arXivcond-mat/0105076OpenAlexW2155064660WikidataQ61033402 ScholiaQ61033402MaRDI QIDQ5947863

Jean-Philippe Bouchaud, Marc Mézard, Irene Giardina

Publication date: 23 October 2001

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0105076

zbMATH Keywords

financial marketsminority game modelrandom-walk like processes

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

Related Items (11)

First-passage-time distribution for variable-diffusion processes ⋮ From Minority Game to Black&Scholes Pricing ⋮ Generalized persistence probability in a dynamic economic index ⋮ Possible origin of the non-linear long-term autocorrelations within the Gaussian regime ⋮ PERSISTENCE PROBABILITY IN FINANCIAL DYNAMICS ⋮ Non-constant rates and over-diffusive prices in a simple model of limit order markets ⋮ Statistical regularities in the return intervals of volatility ⋮ Market mechanism and expectations in minority and majority games ⋮ Analysis of a decision model in the context of equilibrium pricing and order book pricing ⋮ COULD SHORT SELLING MAKE FINANCIAL MARKETS TUMBLE? ⋮ Time series analysis for minority game simulations of financial markets

Cites Work

• A Rational Route to Randomness
• An Introduction to Fluid Dynamics
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• TRADER DYNAMICS IN A MODEL MARKET
• PHASE TRANSITION IN A TOY MARKET
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Power laws in economics and finance: some ideas from physics
• Financial markets as nonlinear adaptive evolutionary systems
• On a universal mechanism for long-range volatility correlations

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