Persistence in financial markets

S. Jain; P. Buckley

doi:10.1140/epjb/e2006-00134-9

Persistence in financial markets

S. Jain^*
, P. Buckley

^*Corresponding author for this work

Aston University
School of Engineering and Applied Science

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

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 θ_f ∼ 0.5.

Original language	English
Pages (from-to)	133-136
Number of pages	4
Journal	European Physical Journal B: Condensed Matter and Complex Systems
Volume	50
Issue number	1-2
DOIs	https://doi.org/10.1140/epjb/e2006-00134-9
Publication status	Published - 1 Mar 2006

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title = "Persistence in financial markets",

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.",

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AB - 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.

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Persistence in financial markets

Abstract

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