Related papers: Statistical pairwise interaction model of stock ma…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied…
Ising models with pairwise interactions are the least structured, or maximum-entropy, probability distributions that exactly reproduce measured pairwise correlations between spins. Here we use this equivalence to construct Ising models that…
Ising models with pairwise interactions are the least structured, or maximum-entropy, probability distributions that exactly reproduce measured pairwise correlations between spins. Here we use this equivalence to construct Ising models that…
We build simple models for the distribution of voting patterns in a group, using the Supreme Court of the United States as an example. The least structured, or maximum entropy, model that is consistent with the observed pairwise…
If we have a system of binary variables and we measure the pairwise correlations among these variables, then the least structured or maximum entropy model for their joint distribution is an Ising model with pairwise interactions among the…
Several recent experiments in biology study systems composed of several interacting elements, for example neuron networks. Normally, measurements describe only the collective behavior of the system, even if in most cases we would like to…
Spin models of markets inspired by physics models of magnetism, as the Ising model, allow for the study of the collective dynamics of interacting agents in a market. The number of possible states has been mostly limited to two (buy or sell)…
We analyze a fixed panel of S\&P 500 stocks from 1996 to 2026 using complementary static and kinetic Ising models applied to daily binary open-to-close movements. The static pairwise model provides a long-run maximum-entropy summary of…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
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…
We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces…
Models can be simple for different reasons: because they yield a simple and computationally efficient interpretation of a generic dataset (e.g. in terms of pairwise dependences) - as in statistical learning - or because they capture the…
A simple Ising spin model which can describe the mechanism of price formation in financial markets is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site,…
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…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
This study considers a model of the income distribution of agents whose pairwise interaction is asymmetric and price-invariant. Asymmetric transactions are typical for chain-trading groups who arrange their business such that commodities…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility…