A new space-time model for volatility clustering in the financial market
AbstractA 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1002.0609.
Date of creation: Feb 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-20 (All new papers)
- NEP-ETS-2010-02-20 (Econometric Time Series)
- NEP-RMG-2010-02-20 (Risk Management)
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- Kaizoji, Taisei, 2000.
"Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 287(3), pages 493-506.
- Taisei Kaizoji, 2000. "Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity," Papers cond-mat/0010263, arXiv.org.
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