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

Antonella Greco, Vincenzo Carbone and Luca Sorriso-Valvo

Physica A: Statistical Mechanics and its Applications, 2007, vol. 376, issue C, 480-486

Abstract: 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.

Keywords: Econophysics; Stock market; Volatility; Waiting times (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:376:y:2007:i:c:p:480-486

DOI: 10.1016/j.physa.2006.10.047

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