On a universal mechanism for long-range volatility correlations
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Publication:4646478
DOI10.1088/1469-7688/1/2/302zbMath1405.91589arXivcond-mat/0012156WikidataQ61033408 ScholiaQ61033408MaRDI QIDQ4646478
Irene Giardina, Jean-Philippe Bouchaud, M. Mzard
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0012156
financial markets; minority game model; long-range volatility correlations; random-walk-like processes
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