Related papers: Statistical pairwise interaction model of stock ma…
The models in statistical physics such as an Ising model offer a convenient way to characterize stationary activity of neural populations. Such stationary activity of neurons may be expected for recordings from in vitro slices or…
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
In this paper, we describe two approaches to model the behavior of stock prices. The first approach considers the underlying probability distribution of day-to-day price differences. The second approach models the movement of the price as a…
We show that the celebrated six-vertex model of statistical mechanics (along with its multistate generalizations) can be reformulated as an Ising-type model with only a two-spin interaction. Such a reformulation unravels remarkable…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
The use of statistical physics to study problems of social sciences is motivated and its current state of the art briefly reviewed, in particular for the case of discrete choice making. The coupling of two binary choices is studied in some…
We study a model for a statistical network formed by interactions between its nodes and links. Each node can be in one of two states (Ising spin up or down) and the node-link interaction facilitates linking between the like nodes. For high…
We introduce a probabilistic pairwise \emph{attraction--repulsion} model for opinion dynamics on multilayer social networks, in which agents hold layer-specific states and interact through random matchings that couple multiple, time-varying…
Reconstructing the structural connectivity between interacting units from observed activity is a challenge across many different disciplines. The fundamental first step is to establish whether or to what extent the interactions between the…
Information flow provides a natural measure for the causal interaction between dynamical events. This study extends our previous rigorous formalism of componentwise information flow to the bulk information flow between two complex…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
I consider the problem of deriving couplings of a statistical model from measured correlations, a task which generalizes the well-known inverse Ising problem. After reminding that such problem can be mapped on the one of expressing the…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
Social behavior across animal species ranges from simple pairwise interactions to thousands of individuals coordinating goal-directed movements. Regardless of the scale, these interactions are governed by the interplay between multimodal…
Mean-field models of 2-spin Ising spin glasses with interaction matrices taken from ensembles which are invariant under O(N) transformations are studied. A general study shows that the nature of the spin glass transition can be deduced from…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
We address the questions of identifying pairs of interacting neurons from the observation of their spiking activity. The neuronal network is modeled by a system of interacting point processes with memory of variable length. The influence of…
There have been two separate lines of work on estimating Ising models: (1) estimating them from multiple independent samples under minimal assumptions about the model's interaction matrix; and (2) estimating them from one sample in…
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…