Wednesday, December 4, 2013

Similar to the process of a random Ising model, traders within

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Ising model as a model of multi-agent based financial market

guava.physics.uiuc.edu/~nigel/courses/563/Essays_2005/PDF/wu1.pdf
tistical model is found to share the similar structure with agent dynamics for ... modified Ising model, we are able to simulate the agent dynamics thus the price ...
  • Critical Ising Model and Financial Market

    arxiv.org › cond-mat
    by T Inagaki - ‎2004 - ‎Cited by 1 - ‎Related articles
    Feb 20, 2004 - Abstract: We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time ...
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    Ising Model in Finance - IES

    ies.fsv.cuni.cz/default/file/download/id/20696
    Abstract. The main objective of this thesis is to inspect the abilities of the Ising model .... numbers, discusses various distribution families of raw and logarithmic stock returns .... The aim of this chapter is to inspect and describe the price variation.
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    Dynamics of price and trading volume in a spin model of stock ...

    www.itp.uni-bremen.de/complex/pdf/physa16441.pdf
    by T Kaizojia - ‎2002 - ‎Cited by 81 - ‎Related articles
    by the Ising model has been proposed recently [6], in order to simulate the dynamics ... the stock price movements over short periods, such as one day.
  • The Ising Model « Orpheus Capitals

    orpheus.asia/2011/09/16/the-ising-model/
    Sep 16, 2011 - The Ising model is a mathematical model of ferromagnetism in statistical mechanics. ... The spins are arranged in a lattice or graph, and each spin interacts ... From a PVO perspective, it could be a stock with a positive spin and ...
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    Modeling of Stock Crashes in Analogy with Phase Transitions

    www-f1.ijs.si/~rudi/sola/stocksem.ps
    The comparison between two-dimensional Ising spin model and ... This is of course just an observation of the stock price variations, which are on the small scale.
  • The Statistical Mechanics of Financial Markets

    books.google.com/books?isbn=354026289X
    Johannes Voit - 2006 - ‎Business & Economics
    Parallels to the Ising or Potts models of Statistical Physics resurface! ... derived from the random coin tossing looks remarkably like a normal stock price chart and ...
  • Table of Contents for Sornette, D.,: Why Stock Markets Crash ...

    press.princeton.edu/TOCs/c7341.html
    by D Sornette - ‎Cited by 711 - ‎Related articles
    Table of Contents for Why Stock Markets Crash: Critical Events in Complex Financial Systems by Sornette, D.,, ... The Ising Model of Cooperative Behavior 122
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    Stock Markets as Evolving Complex Systems. Simulations and ...

    duepublico.uni-duisburg-essen.de/servlets/.../Complex_systems.pdf
    by HJ Holtrup - ‎2007 - ‎Related articles
    7.4 A new Ising Model with heterogenous Traders and Information. Inflow . ..... time span of more than one hundred years of stock price history, one has to.
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    Understanding the complex dynamics of stock markets through ...

    www.science.uva.nl/~kandhai/CAPaper.pdf
    by G Qiu - ‎Cited by 21 - ‎Related articles
    Within this model, a stock market is represented by a two-dimensional lattice, of which each vertex stands ... Heavy-tailed return distributions due to large price vari- ations can be .... Similar to the process of a random Ising model, traders within ...
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