A new space-time model for volatility clustering in the financial market
Statistical Finance
2010-02-04 v1 Trading and Market Microstructure
Abstract
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the model are derived with focus on the critical temperature and magnetization. It turns out that the Hamiltonian is a sufficient statistic for the temperature parameter and thus statistical inference about this parameter can be performed. Thus e.g. statements about how far the current financial situation is from a financial crisis can be made, and financial trading stability be monitored for detection of malicious risk indicating signals.
Keywords
Cite
@article{arxiv.1002.0609,
title = {A new space-time model for volatility clustering in the financial market},
author = {Maria Boguta and Eric Järpe},
journal= {arXiv preprint arXiv:1002.0609},
year = {2010}
}
Comments
11 pages, 1 figure