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Non-Poisson intermittent events in price formation in a Ising spin model of market
ArticleAbstract: The formation of price in a financial market is modelled as a chain of Ising spin with three fundamePalabras claves:Econophysics, stock market, Volatility, Waiting timesAutores:Carbone V., Greco A., Luca Sorriso-ValvoFuentes:scopusWaiting time distributions of the volatility in the Italian MIB30 index: Clustering or Poisson functions?
ArticleAbstract: We investigate the time behaviour of the Italian MIB30 stock index collected every minute during twoPalabras claves:Econophysics, Italian market, Volatility, Waiting timesAutores:Carbone V., Cidone S., Greco A., Luca Sorriso-ValvoFuentes:scopus