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Krawiecki A, Hołyst JA, Helbing D. Volatility clustering and scaling for financial time series due to attractor bubbling. Phys Rev Lett. 2002;89(15):158701doi: 10.1103/PhysRevLett.89.158701.
Krawiecki, A., Hołyst, J. A., & Helbing, D. (2002). Volatility clustering and scaling for financial time series due to attractor bubbling. Physical review letters, 89(15), 158701. https://doi.org/10.1103/PhysRevLett.89.158701
Krawiecki, A, et al. "Volatility clustering and scaling for financial time series due to attractor bubbling." Physical review letters vol. 89,15 (2002): 158701. doi: https://doi.org/10.1103/PhysRevLett.89.158701
Krawiecki A, Hołyst JA, Helbing D. Volatility clustering and scaling for financial time series due to attractor bubbling. Phys Rev Lett. 2002 Oct 07;89(15):158701. doi: 10.1103/PhysRevLett.89.158701. Epub 2002 Sep 18. PMID: 12366029.
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Phys Rev Lett. 2002 Oct 07;89(15):158701. doi: 10.1103/PhysRevLett.89.158701. Epub 2002 Sep 18.

Volatility clustering and scaling for financial time series due to attractor bubbling.

Physical review letters

A Krawiecki, J A Hołyst, D Helbing

Affiliations

  1. Faculty of Physics, Warsaw University of Technology, Koszykowa 75, Poland.

PMID: 12366029 DOI: 10.1103/PhysRevLett.89.158701

Abstract

A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time heat bath dynamics, similar to random Ising systems. The interactions between agents change randomly in time. In the thermodynamic limit, the obtained time series of price returns show chaotic bursts resulting from the emergence of attractor bubbling or on-off intermittency, resembling the empirical financial time series with volatility clustering. For a proper choice of the model parameters, the probability distributions of returns exhibit power-law tails with scaling exponents close to the empirical ones.

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