Persistence in financial markets

S. Jain*, P. Buckley

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)133-136
Number of pages4
JournalEuropean Physical Journal B: Condensed Matter and Complex Systems
Volume50
Issue number1-2
DOIs
Publication statusPublished - 1 Mar 2006

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