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Financial Markets and Persistence

S. Jain·P. Buckley
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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\rq values. As a result, we estimate a persistence exponent for the underlying financial market to be $θ_f\sim 0.5$.

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S. Jain, P. Buckley. 2006-01-09. Financial Markets and Persistence. https://arxiv.org/abs/physics/0510028

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