Microscopic models for long ranged volatility correlations
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, or a more sophisticated version that includes some price dynamics.
We show that real market data can be surprisingly well accounted for by these simple models.