96 citations · 106 across the 2 of their papers we have counts for
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q-fin.ST2008★ 96 cited
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…
q-fin.ST2007
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…