Non Poisson intermittent events in price formation

Details Non Poisson intermittent events in price formation Non Poisson intermittent events in price formation

2006-01-09

arxiv.org/abs/physics/0601047v1

Physics

Data Analysis, Statistics and Probability

4 pages

Scientific paper

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.

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