Eckrot, A. and Jurczyk, J. and Morgenstern, I. (2016) Ising model of financial markets with many assets. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 462. pp. 250-254. ISSN 0378-4371, 1873-2119
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Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of assets. We find that a separation of news into different channels leads to sector structures in the cross correlations, similar to those found in real markets. (C) 2016 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | LONG MEMORY; SPIN MODEL; DYNAMICS; VOLATILITY; EMERGENCE; RETURNS; NOISE; FACTS; Econophysics; Financial markets; Ising model |
| Subjects: | 500 Science > 530 Physics |
| Divisions: | Physics > Institute of Theroretical Physics > Professor Morgenstern |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 12 Apr 2019 10:34 |
| Last Modified: | 12 Apr 2019 10:34 |
| URI: | https://pred.uni-regensburg.de/id/eprint/3949 |
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