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Non-Poisson intermittent events in price formation in a Ising spin model of market

Greco, Antonella; Carbone, Vincenzo; Sorriso-Valvo, Luca - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 480-486

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...

Persistent link: https://www.econbiz.de/10011064138

Fitting the empirical distribution of intertrade durations

Politi, Mauro; Scalas, Enrico - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 2025-2034

Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the...

Persistent link: https://www.econbiz.de/10010588879

Waiting time distributions of the volatility in the Italian MIB30 index: Clustering or Poisson functions?

Greco, Antonella; Sorriso-Valvo, Luca; Carbone, Vincenzo; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4272-4284

We investigate the time behaviour of the Italian MIB30 stock index collected every minute during two months in the period from May 17, 2006, up to July 24, 2006. We find short-range correlations in the price returns and, on the contrary, a long persistent time lag and slow decay in the...

Persistent link: https://www.econbiz.de/10010590893

Strength statistics and the distribution of earthquake interevent times

Hristopulos, Dionissios T.; Mouslopoulou, Vasiliki - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 3, pp. 485-496

The Weibull distribution is often used to model the earthquake interevent times distribution (ITD). We propose a link between the earthquake ITD on single faults with the Earth’s crustal shear strength distribution by means of a phenomenological stick–slip model. For single faults or fault...

Persistent link: https://www.econbiz.de/10010595175

On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market

Sazuka, Naoya - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 500-506

We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high-frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show...

Persistent link: https://www.econbiz.de/10010873455

Baiesi, Marco; Maes, Christian; Shergelashvili, Bidzina M. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 1, pp. 167-176

A model of the Lu–Hamilton kind is applied to the study of critical behavior of the magnetized solar atmosphere. The main novelty is that its driving is done via sources undergoing a diffusion. This mimics the effect of a virtual turbulent substrate forcing the system. The system exhibits...

Persistent link: https://www.econbiz.de/10011057240

Search and topology aspects in transport on scale-free networks

Tadić, Bosiljka; Thurner, Stefan - In: Physica A: Statistical Mechanics and its Applications 346 (2005) 1, pp. 183-190

Using a recently proposed model Physica A 332 (2004) 566 of information transport on complex networks we study the role of network substrates on the statistics of queuing times and correlations in traffic streams. When navigation with an enlarged information horizon is applied the waiting time...

Persistent link: https://www.econbiz.de/10011059015

Effective dimensions in networks with long-range connections

Moukarzel, Cristian F. - In: Physica A: Statistical Mechanics and its Applications 356 (2005) 1, pp. 157-161

networks topologically similar to random graphs. An effective dimension dchem(μ) can be defined in terms of the shortest …

Persistent link: https://www.econbiz.de/10011062380

Ising model with spins S=1/2 and 1 on directed and undirected Erdös–Rényi random graphs

Lima, F.W.S.; Sumour, M.A. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 948-953

–Rényi (ER) random graphs, with z neighbors for each spin. In the case with spin S=1/2, the undirected and directed ER graphs … graphs the model presents a spontaneous magnetization at p=z/N(z=2,3,…,N), but no spontaneous magnetization at p=1/N which is … the percolation threshold. For both directed and undirected ER graphs with spin S=1, we find a first-order phase …

Persistent link: https://www.econbiz.de/10011063450

Ultrametricity in fund of funds diversification

Miceli, M.A.; Susinno, G. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 95-99

Minimum market transparency requirements impose hedge fund (HF) managers to use the statement declared strategy in practice. However, each declared strategy may actually generate a multiplicity of implemented management decisions. Is then the “actual ” strategy the same as the...

Persistent link: https://www.econbiz.de/10011063884