96 citations · 144 across the 3 of their papers we have counts for
4 papers
The Lehman Brothers Effect and Bankruptcy Cascades
Paweł Sieczka, Didier Sornette, Janusz A. Hołyst
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as havi…
Correlations in commodity markets
Paweł Sieczka, Janusz A. Hołyst
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a…
A threshold model of financial markets
Paweł Sieczka, Janusz A. Hołyst
We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution i…
Statistical properties of short term price trends in high frequency stock market data
Paweł Sieczka, Janusz A. Hołyst
We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a…