A threshold model of financial markets

Pawe{\l} Sieczka and Janusz A. Ho{\l}yst

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Abstract: We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering.

Date: 2007-11, Revised 2008-06
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Citations: View citations in EconPapers (4)

Published in Acta Physica Polonica A 114 (3): 458-648 (2008)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0711.3106

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