A Threshold Model of Financial Markets |
| P. Sieczka and J.A. Hołyst
Faculty of Physics, Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland |
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| Received: 22 11 2007; |
| We proposed a model of interacting market agents based on the generalized Ising spin model. The agents can take three actions: "buy", "sell", or "stay inactive". We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering. |
| DOI: 10.12693/APhysPolA.114.525 PACS numbers: 89.65.Gh |