Abstract
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.
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Ponzi, A. (2002). A Speculative Financial Market Model. In: Takayasu, H. (eds) Empirical Science of Financial Fluctuations. Springer, Tokyo. https://doi.org/10.1007/978-4-431-66993-7_15
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DOI: https://doi.org/10.1007/978-4-431-66993-7_15
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