Non-Poisson intermittent events in price formation in a Ising spin model of market

The formation of price in a financial market is modelled as a chain of Ising spin with three fundamental figures of trading. We investigate the time behaviour of the model, and we compare the results with the real EURO/USD change rate. By using the test of local Poisson hypothesis, we show that this minimal model leads to clustering and “declustering” in the volatility signal, typical of the real market data.

MoreLess

Year of publication:	2007
Authors:	Greco, Antonella ; Carbone, Vincenzo ; Sorriso-Valvo, Luca
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 376.2007, C, p. 480-486
Publisher:	Elsevier
Subject:	Econophysics \| Stock market \| Volatility \| Waiting times

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064138