{
  "id": "cond-mat/0404264",
  "version": "v3",
  "published": "2004-04-12T14:57:06.000Z",
  "updated": "2004-12-14T14:46:50.000Z",
  "title": "Price return auto-correlation and predictability in agent-based models of financial markets",
  "authors": [
    "Damien Challet",
    "Tobias Galla"
  ],
  "comment": "7 pages, 5 figures",
  "categories": [
    "cond-mat.stat-mech",
    "cond-mat.dis-nn",
    "q-fin.TR"
  ],
  "abstract": "We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use minority games to illustrate that a vanishing price return auto-correlation function does not necessarily imply market efficiency. On the contrary, we stress the difference between correlations measured conditionally and unconditionally on external patterns.",
  "revisions": [
    {
      "version": "v3",
      "updated": "2004-12-14T14:46:50.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "financial markets",
      "agent-based models",
      "predictability",
      "vanishing price return auto-correlation function",
      "minority mechanisms arise"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 7,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2004cond.mat..4264C"
    }
  }
}