Eur. Phys. J. B 38, 671-677 (2004)
https://doi.org/10.1140/epjb/e2004-00161-6

Activity autocorrelation in financial markets

A comparative study between several models

¹ INFM - Dipartimento di Fisica dell'Università di Pisa, via Buonarroti 2, 56127 Pisa, Italy
² Departament de Física Fonamental, Universitat de Barcelona, Diagonal 647, 08028 Barcelona, Spain

Corresponding authors: ^a Luigi.Palatella@roma1.infn.it - ^b josep.perello@ub.edu - ^c miquel.montero@ub.edu - ^d jaume.masoliver@ub.edu

Received: 22 December 2003
Revised: 15 March 2004
Published online: 8 June 2004

Abstract

We study the activity of financial markets, i.e., the number of transactions per unit of time. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are distributed following an asymptotic power-law which ultimately recovers an exponential behavior. We discuss these results in comparison with ARCH models, stochastic volatility models and multi-agent models showing that ARCH and stochastic volatility models better describe the observed experimental evidences.