Critical Ising Model and Financial Market
نویسنده
چکیده
We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time and another represents ensemble of stocks, and strength of response of investors to price change corresponds to inverse temperature of the system. At critical temperature, infinitely long correlation among number of trades along time is observed and power-law tail in distribution of price fluctuation appears.
منابع مشابه
Magnetic Properties and Phase Transitions in a Spin-1 Random Transverse Ising Model on Simple Cubic Lattice
Within the effective-field theory with correlations (EFT), a transverse random field spin-1 Ising model on the simple cubic (z=6) lattice is studied. The phase diagrams, the behavior of critical points, transverse magnetization, internal energy, magnetic specific heat are obtained numerically and discussed for different values of p the concentration of the random transverse field.
متن کاملImportance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective aggregate decisions of agents. This model incorporates imitation, the impact of external news and private information. It has the structure of a dynamical Ising mo...
متن کاملEffect of boundary conditions on stochastic Ising-like financial market price model
* Correspondence: wangjun@bjtu. edu.cn Department of Mathematics, Key Laboratory of Communication and Information System, Beijing Jiaotong University, 100044 Beijing, P.R. China Abstract Price formation in financial markets based on the 2D stochastic Ising-like spin model is proposed, with a randomized inverse temperature of each trading day. The statistical behaviors of returns of this financi...
متن کاملMagnetic Properties in a Spin-1 Random Transverse Ising Model on Square Lattice
In this paper we investigate the effect of a random transverse field, distributed according to a trimodal distribution, on the phase diagram and magnetic properties of a two-dimensional lattice (square with z=4), ferromagnetic Ising system consisting of magnetic atoms with spin-1. This study is done using the effectivefield theory (EFT) with correlations method. The equations are derived using...
متن کاملSpeculative Bubbles and Crashes in Stock Markets: An Interacting-Agent Model of Speculative Activity
In this paper we present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the investment attitude of other traders. Bubbles and crashes are understood and described qualitatively and quantitatively in terms of the classical...
متن کامل