https://doi.org/10.1140/epjb/e2006-00134-9
Persistence in financial markets
Information Engineering, The Neural Computing Research Group, School of Engineering and Applied Science, Aston University, Birmingham, B4 7ET, UK
Corresponding author: a s.jain@aston.ac.uk
Received:
24
October
2005
Revised:
7
December
2005
Published online:
12
April
2006
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 θf∼0.5.
PACS: 05.20.-y – Classical statistical mechanics / 05.50.+q – Lattice theory and statistics (Ising, Potts, etc.) / 75.10.Hk – Classical spin models / 75.40.Mg – Numerical simulation studies
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2006
