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

Author

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  • Greco, Antonella
  • Carbone, Vincenzo
  • Sorriso-Valvo, Luca

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.

Suggested Citation

  • Greco, Antonella & Carbone, Vincenzo & Sorriso-Valvo, Luca, 2007. "Non-Poisson intermittent events in price formation in a Ising spin model of market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 480-486.
    • Handle: RePEc:eee:phsmap:v:376:y:2007:i:c:p:480-486
    DOI: 10.1016/j.physa.2006.10.047
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    Cited by:

    1. Vindel, Jose M. & Trincado, Estrella, 2010. "The timing of information transmission in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5749-5758.

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