On a universal mechanism for long-range volatility correlations

DOI10.1088/1469-7688/1/2/302zbMath1405.91589arXivcond-mat/0012156OpenAlexW3124247185WikidataQ61033408 ScholiaQ61033408MaRDI QIDQ4646478

Jean-Philippe Bouchaud, Irene Giardina, 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

zbMATH Keywords

financial marketsminority game modellong-range volatility correlationsrandom-walk-like processes

Mathematics Subject Classification ID

Other game-theoretic models (91A40) Derivative securities (option pricing, hedging, etc.) (91G20)

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