A Speculative Financial Market Model
Recent research has shown that stocks in financial markets, and indeed the markets themselves, can interact in complex ways. I describe an idealized phenomenological model which is based on real observed market characteristics and treats a financial market as a complex adaptive system. It is an integral part of this model that a stock cannot be considered singly but is part of a dynamically evolving environment. In this article I concentrate on describing and motivating the model’s basic physical assumptions in some detail. I compare behaviour with real empirical market characteristics and show some new empirical results which indicate that the FTSE100 shares are compatible with on-off intermittency.
KeywordsFinancial Market Market Return Complex Adaptive System Individual Investor Price Return
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