Persistence in financial markets

被引：6
|
作者：
Jain, S [1 ]
Buckley, P [1 ]
机构：
[1] Aston Univ, Sch Engn & Appl Sci, Neural Comp Res Grp, Birmingham B4 7ET, W Midlands, England
来源：
EUROPEAN PHYSICAL JOURNAL B | 2006年 / 50卷 / 1-2期
关键词：
D O I：
10.1140/epjb/e2006-00134-9
中图分类号：
O469 [凝聚态物理学];
学科分类号：
070205 ;
摘要：
Persistence is studied in a financial context by mapping the time evolution of the values of the shares quoted on the London Financial Times Stock Exchange 100 index (FTSE 100) onto Ising spins. By following the time dependence of the spins, we find evidence for power law decay of the proportion of shares that remain either above or below their 'starting' values. As a result, we estimate a persistence exponent for the underlying financial market to be theta(f) similar to 0.5.
引用
收藏
页码：133 / 136
页数：4
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