Related papers: Statistical pairwise interaction model of stock ma…
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…
Spin glass models, such as the Sherrington-Kirkpatrick, Hopfield and Ising models, are all well-studied members of the exponential family of discrete distributions, and have been influential in a number of application domains where they are…
The problem of inferring pair-wise and higher-order interactions in complex systems involving large numbers of interacting variables, from observational data, is fundamental to many fields. Known to the statistical physics community as the…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
We propose a statistical mechanics approach to a coevolving spin system with an adaptive network of interactions. The dynamics of node states and network connections is driven by both spin configuration and network topology. We consider a…
Modeling feature interactions in tabular data remains a key challenge in predictive modeling, for example, as used for insurance pricing. This paper proposes the Tree-like Pairwise Interaction Network (PIN), a novel neural network…
A mathematical model for behavioral changes by pair interactions (i.e. due to direct contact) of individuals is developed. Three kinds of pair interactions can be distinguished: Imitative processes, avoidance processes, and compromising…
A common issue when analyzing real-world complex systems is that the interactions between the elements often change over time: this makes it difficult to find optimal models that describe this evolution and that can be estimated from data,…
Unlike the classical kinetic theory of rarefied gases, where microscopic interactions among gas molecules are described as binary collisions, the modelling of socio-economic phenomena in a multi-agent system naturally requires to consider,…
We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding,…
Human populations exhibit complex behaviors---characterized by long-range correlations and surges in activity---across a range of social, political, and technological contexts. Yet it remains unclear where these collective behaviors come…
Small-world networks provide an interesting framework for studying the interplay between regular and random graphs, where links are located in a regular and random way, respectively. On one hand, the random links make the model to obey some…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We investigate thermodynamic phase transitions of the joint presence of spin glass (SG) and random field (RF) using a random graph model that allows us to deal with the quenched disorder. Therefore, the connectivity becomes a controllable…
Hierarchical spin-glasses are Ising spin models defined by recursively coupling together two equally-sized sub-systems. In this work a new hierarchical spin system is introduced wherein the sub-systems are recursively coupled together…
Randomly coupled Ising spins constitute the classical model of collective phenomena in disordered systems, with applications covering ferromagnetism, combinatorial optimization, protein folding, stock market dynamics, and social dynamics.…
We propose a Statistical-Mechanics inspired framework for modeling economic systems. Each agent composing the economic system is characterized by a few variables of distinct nature (e.g. saving ratio, expectations, etc.). The agents…
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x,…
This dissertation investigates the ability of the Ising model to replicate statistical characteristics, or stylized facts, commonly observed in financial assets. The study specifically examines in the S&P500 index the following features:…