| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 976956 | Physica A: Statistical Mechanics and its Applications | 2007 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Antonella Greco, Vincenzo Carbone, Luca Sorriso-Valvo,