Persistence and financial markets

S. Jain

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 22-27

Abstract: The persistence phenomenon is studied in a financial context by using a novel mapping of the time evolution of the values of shares in a portfolio onto Ising spins. The method is applied to historical data from the London Financial Times Stock Exchange 100 index (FTSE 100) over an arbitrarily chosen period. By following the time dependence of the spins, we find evidence for a power law decay of the proportion of shares that remain either above or below their ‘starting’ values. As a result, we estimate a persistence exponent for the underlying financial market to be ≈0.5. Preliminary results from computer simulations on persistence in the economic dynamics of a toy model appear to reproduce the behaviour observed in real markets.

Keywords: Ising spins; Financial markets; Persistence (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437107004669
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:22-27

DOI: 10.1016/j.physa.2007.04.083

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().