Related papers: Statistical pairwise interaction model of stock ma…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
Pairwise models like the Ising model or the generalized Potts model have found many successful applications in fields like physics, biology, and economics. Closely connected is the problem of inverse statistical mechanics, where the goal is…
Recent work has shown that probabilistic models based on pairwise interactions-in the simplest case, the Ising model-provide surprisingly accurate descriptions of experiments on real biological networks ranging from neurons to genes.…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
Spin glasses are paradigmatic models that deliver concepts relevant for a variety of systems. However, rigorous analytical results are difficult to obtain for spin-glass models, in particular for realistic short-range models. Therefore…
The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
The Ising model is a model for pairwise interactions between binary variables that has become popular in the psychological sciences. It has been first introduced as a theoretical model for the alignment between positive (+1) and negative…
To investigate novel aspects of pattern formation in spin systems, we use a mapping between reactive concentrations in a reaction-diffusion system and spin orientations in a dynamic multiple-spin Ising model. While pattern formation in…
Spin glasses, generally defined as disordered systems with randomized competing interactions, are a widely investigated complex system. Theoretical models describing spin glasses are broadly used in other complex systems, such as those…
In this work we study spin-glass (SG) like behavior in the dynamics of multiple agents in a social or economic context using interactions which are similar to the physical case. The different preferences shown by individual agents are…
Biological information processing networks consist of many components, which are coupled by an even larger number of complex multivariate interactions. However, analyses of data sets from fields as diverse as neuroscience, molecular…
The increasing richness in volume, and especially types of data in the financial domain provides unprecedented opportunities to understand the stock market more comprehensively and makes the price prediction more accurate than before.…
A disordered spin glass model where both static and dynamical properties depend on macroscopic magnetizations is presented. These magnetizations interact via random couplings and, therefore, the typical quenched realization of the system…
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…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
The analysis of financial markets using models inspired by statistical physics offers a fruitful approach to understand collective and extreme phenomena [3, 14, 15] In this paper, we present a study based on a 2D Ising network model where…
We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning…
We designed a model-based analysis to predict the occurrence of population patterns in distributed spiking activity. Using a maximum entropy principle with a Markovian assumption, we obtain a model that accounts for both spatial and…