A new space-time model for volatility clustering in the financial market

Details A new space-time model for volatility clustering in the financial market A new space-time model for volatility clustering in the financial market

2010-02-03

arxiv.org/abs/1002.0609v1

Economy

Quantitative Finance

Statistical Finance

11 pages, 1 figure

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

A new space-time model for volatility clustering in the financial market does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A new space-time model for volatility clustering in the financial market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A new space-time model for volatility clustering in the financial market will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-600770