Non Poisson intermittent events in price formation
Data Analysis, Statistics and Probability
2008-12-02 v1 Physics and Society
Statistical Finance
Abstract
The formation of price in a financial market is modelled as a chain of Ising spin with three fundamental figures of trading. We investigate the time behaviour of the model, and we compare the results with the real EURO/USD change rate. By using the test of local Poisson hypothesis, we show that this minimal model leads to clustering and "declustering" in the volatility signal, typical of the real market data.
Keywords
Cite
@article{arxiv.physics/0601047,
title = {Non Poisson intermittent events in price formation},
author = {Antonella Greco and Luca Sorriso-Valvo and Vincenzo Carbone},
journal= {arXiv preprint arXiv:physics/0601047},
year = {2008}
}
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4 pages