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

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. © 2006 Elsevier B.V. All rights reserved.

Año de publicación:

2007

Keywords:

• Waiting times
• Volatility
• Econophysics
• stock market

Fuente:

scopus