A threshold model of financial markets

Simple item page
dc.creatorSieczka, Paweł
dc.creatorHołyst, Janusz A.
dc.date2007-11-20
dc.date2008-06-24
dc.date.accessioned2026-07-07T12:05:34Z
dc.date.available2026-07-07T12:05:34Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/0711.3106
dc.identifierhttp://arxiv.org/abs/0711.3106
dc.identifierActa Physica Polonica A 114 (3): 458-648 (2008)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208408
dc.subjectStatistical Finance
dc.subjectPhysics and Society
dc.titleA threshold model of financial markets
dc.typetext

Files

Collections

arXiv