Related papers: Multiple Time Series Ising Model for Financial Mar…

In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead-lag structure amongst…

For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored,…

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…

Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…

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…

We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights by providing through the data perturbations we propose a…

The dynamics of non-equilibrium Ising model with parallel updates is investigated using a generalized mean field approximation that incorporates multiple two-site correlations at any two time steps, which can be obtained recursively. The…

Financial time series exhibit multiscale behavior, with interaction between multiple processes operating on different timescales. This paper introduces a method for separating these processes using variance and tail stationarity criteria,…

We implemented a parallel version of the multicanonical algorithm and applied it to a variety of systems with phase transitions of first and second order. The parallelization relies on independent equilibrium simulations that only…

We introduce finite mixtures of Ising models as a novel approach to study multivariate patterns of associations of binary variables. Our proposed models combine the strengths of Ising models and multivariate Bernoulli mixture models. We…

We find an unexpected phenomenon of coherently synchronized oscillations in a mirror-symmetric many-body localized system. A synchronization transition of the spin oscillations is found by changing the spin-spin interactions. To understand…

Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time and physical time. In detail, we present an analytic…

This article considers a model for alternative processes for securities prices and compares this model with actual return data of several securities. The distributions of returns that appear in the model can be Gaussian as well as…

This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market…

We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…

Derivative hedging and pricing are important and continuously studied topics in financial markets. Recently, deep hedging has been proposed as a promising approach that uses deep learning to approximate the optimal hedging strategy and can…

We analyze the collective spin noise in interacting spin systems. General expressions are derived for the short time behaviour of spin systems with general spin-spin interactions, and we suggest optimum experimental conditions for the…

A quantum simulator is a well controlled quantum system that can simulate the behavior of another quantum system which may require exponentially large classical computing resources to understand otherwise. In the 1980s, Feynman proposed the…

Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and…

We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…