Replicating financial market dynamics with a simple self-organized critical lattice model

@article{Dupoyet2010ReplicatingFM,
  title={Replicating financial market dynamics with a simple self-organized critical lattice model},
  author={Brice V. Dupoyet and H. Rudolf Fiebig and David Musgrove},
  journal={Fuel and Energy Abstracts},
  year={2010}
}
We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a self-organized critical state. This implies scale invariance of the model, without tuning parameters. Prominent results of our simulation are time series of gains, prices, volatility, and gains frequency distributions, which all compare favorably to features of… 
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