Non Poisson intermittent events in price formation
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
