A phi4 lattice field theory with a magnetization-dependent frustration term produces fat-tailed returns and volatility clustering qualitatively similar to FTSE 100 data.
Mandelbrot, The Variation of Certain Speculative Prices, The Journal of Business 36, 394 (1963)
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Lattice $\phi^{4}$ field theory as a multi-agent system of financial markets
A phi4 lattice field theory with a magnetization-dependent frustration term produces fat-tailed returns and volatility clustering qualitatively similar to FTSE 100 data.