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  1. 1 Acta Physica Polonica A

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  1. 1 2008

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  1. 1 Hołyst J.

  2. 1 Sieczka P.

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A Threshold Model of Financial Markets

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Sieczka P., Hołyst J.
Acta Physica Polonica A
|
2008
|
vol. 114
|
issue 3
525-530
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.
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