Related papers: Statistical pairwise interaction model of stock ma…

Starting from preferences on N proposed policies obtained via questionnaires from a sample of the electorate, an Ising spin-glass model in a field can be constructed from which a political party could find the subset of the proposed…

Random pairwise encounters often occur in large populations, or groups of mobile agents, and various types of local interactions that happen at encounters account for emergent global phenomena. In particular, in the fields of swarm…

The scaling of fluctuations in the distribution of ground-state energies or costs with the system size N for Ising spin glasses is considered using an extensive set of simulations with the Extremal Optimization heuristic across a range of…

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…

The Ising model is important in statistical modeling and inference in many applications, however its normalizing constant, mean number of active vertices and mean spin interaction -- quantities needed in inference -- are computationally…

We introduce varying spin strengths to the Ising model, a central pillar of statistical physics. With inhomogeneous physical systems in mind, but also anticipating interdisciplinary applications, we present the model on network structures…

We discuss recent work in the study of a simple model for the collective behaviour of diverse speculative agents in an idealized stockmarket, considered from the perspective of the statistical physics of many-body systems. The only…

The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…

Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…

We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a market adaptive strategy. In this model only a fraction of…

We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized ones,…

In this work we consider the problem of extracting a set of interaction parameters from an high-dimensional dataset describing T independent configurations of a complex system composed of N binary units. This problem is formulated in the…

We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…

Statistical mechanics explains the properties of macroscopic phenomena based on the movements of microscopic particles such as atoms and molecules. Movements of microscopic particles can be represented by large-scale interacting systems. In…

Networks provide a powerful formalism for modeling complex systems by using a model of pairwise interactions. But much of the structure within these systems involves interactions that take place among more than two nodes at once; for…

We introduce a simple spherical model whose structural properties are similar to the ones generated by models with directional interactions, by employing a binary mixture of large and small hard spheres, with a square-well attraction acting…

In an effort to effectively model observed patterns in the spatial configuration of individuals of multiple species in nature, we introduce the saturated pairwise interaction Gibbs point process. Its main strength lies in its ability to…

I describe a class of spin models with short--range plaquette interactions whose static equilibrium properties are trivial but which display glassy dynamics at low temperatures. These models have a dual description in terms of free defects…

Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…

Facilitated or kinetically constrained spin models (KCSM) are a class of interacting particle systems reversible w.r.t. to a simple product measure. Each dynamical variable (spin) is re-sampled from its equilibrium distribution only if the…