A Threshold Model of Financial Markets

• Authors: P. Sieczka , J. Hołyst
• 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

89.65.Gh

Discipline

• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2008
• Volume: 114
• Issue: 3
• Pages: 525-530

Dates

published

2008-09

received

2007-11-22

Contributors

author

P. Sieczka

• Faculty of Physics, Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland

author

J. Hołyst

• Faculty of Physics, Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland

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Identifiers

DOI

10.12693/APhysPolA.114.525