Non Poisson intermittent events in price formation

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dc.creatorGreco, Antonella
dc.creatorSorriso-Valvo, Luca
dc.creatorCarbone, Vincenzo
dc.date2006-01-09
dc.date.accessioned2026-07-07T12:07:42Z
dc.date.available2026-07-07T12:07:42Z
dc.descriptionThe 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.
dc.description4 pages
dc.identifierhttps://arxiv.org/abs/physics/0601047
dc.identifierhttp://arxiv.org/abs/physics/0601047
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209060
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleNon Poisson intermittent events in price formation
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