http://www.cnr.it/ontology/cnr/individuo/prodotto/ID167133
Non-Poisson intermittent events in price formation in a Ising spin model of market (Articolo in rivista)
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- Non-Poisson intermittent events in price formation in a Ising spin model of market (Articolo in rivista) (literal)
- Anno
- 2007-01-01T00:00:00+01:00 (literal)
- Alternative label
Greco, Antonella; Carbone, Vincenzo; Sorriso-Valvo, Luca (2007)
Non-Poisson intermittent events in price formation in a Ising spin model of market
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- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
- Greco, Antonella; Carbone, Vincenzo; Sorriso-Valvo, Luca (literal)
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- ISI Web of Science (WOS) (literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
- Univ Calabria, Dipartimento Fis, I-87036 Arcavacata Di Rende, CS, Italy; Univ Calabria, CNR, INFM, LICRYL, I-87036 Arcavacata Di Rende, CS, Italy (literal)
- Titolo
- Non-Poisson intermittent events in price formation in a Ising spin model of market (literal)
- 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. (c) 2006 Elsevier B.V. All rights reserved. (literal)
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