Related papers: Statistical pairwise interaction model of stock ma…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
Several types of biological networks have recently been shown to be accurately described by a maximum entropy model with pairwise interactions, also known as the Ising model. Here we present an approach for finding the optimal mappings…
A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial-market models) is presented. In this model, a value of the…
We propose a model for the dynamics of a social system, which includes diffusive effects and a biased rule for spin-flips, reproducing the effect of strategic choices. This model is able to mimic some phenomena taking place during marketing…
Continuous phase transitions are catalogued into universality classes, families of systems having identical values of all the exponents governing the critical behaviour of their different physical properties. Numerical simulations have been…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…
The use of intelligent systems for stock market predictions has been widely established. In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using several connectionist paradigms and…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
Doubly-intractable posterior distributions arise in many applications of statistics concerned with discrete and dependent data, including physics, spatial statistics, machine learning, the social sciences, and other fields. A specific…
Pairwise interactions between perturbations to a system can provide evidence for the causal dependencies of the underlying underlying mechanisms of a system. When observations are low dimensional, hand crafted measurements, detecting…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
Scientists have developed hundreds of techniques to measure the interactions between pairs of processes in complex systems. But these computational methods, from correlation coefficients to causal inference, rely on distinct quantitative…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
All interesting and fascinating collective properties of a complex system arise from the intricate way in which its components interact. Various systems in physics, biology, social sciences and engineering have been successfully modelled as…
We study stochastic pairwise interaction network systems whereby a finite population of agents, identified with the nodes of a graph, update their states in response to both individual mutations and pairwise interactions with their…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
To construct models of large, multivariate complex systems, such as those in biology, one needs to constrain which variables are allowed to interact. This can be viewed as detecting "local" structures among the variables. In the context of…
In this short note we investigate the natur of the phase transitions in a spin market model as a function of the interaction strength between local and global effects. We find that the stochastic dynamics of this stylized market model…