A threshold model of financial markets
Statistical Finance
2008-12-02 v3 Physics and Society
Abstract
We proposed a model of interacting market agents based on the 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.
Cite
@article{arxiv.0711.3106,
title = {A threshold model of financial markets},
author = {Paweł Sieczka and Janusz A. Hołyst},
journal= {arXiv preprint arXiv:0711.3106},
year = {2008}
}