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2008 | 114 | 3 | 525-530
Article title

A Threshold Model of Financial Markets

Content
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Languages of publication
EN
Abstracts
EN
We proposed a model of interacting market agents based on the generalized 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.
Keywords
EN
Publisher

Year
Volume
114
Issue
3
Pages
525-530
Physical description
Dates
published
2008-09
received
2007-11-22
Contributors
author
  • Faculty of Physics, Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland
author
  • Faculty of Physics, Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland
References
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  • 11. A.-H. Sato, Physica A 382, 258 (2007)
  • 12. R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics, CUP, Cambridge UK 2000
  • 13. T. Kaizoji, S. Bornholdt, Y. Fujiwara, Physica A 316, 441 (2002)
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv114n305kz
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