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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…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
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…
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:…
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,…
We present a new type of spin market model, populated by hierarchical agents, represented as configurations of sites and arcs in an evolving network. We describe two analytic techniques for investigating the asymptotic behavior of this…
The topological hypothesis claims that phase transitions in a classical statistical mechanical system are related to changes in the topology of the level sets of the Hamiltonian. So far, the study of this hypothesis has been restricted to…
We study the dynamics of a spin-flip model with a mean field interaction. The system is non reversible, spacially inhomogeneous, and it is designed to model social interactions. We obtain the limiting behavior of the empirical averages in…
An Ising model with local Glauber dynamics is studied under the influence of additional kinetic restrictions for the spin-flip rates depending on the orientation of neighboring spins. Even when the static interaction between the spins is…
We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
We study, using Monte Carlo dynamics, the time ($t$) dependent average magnetization per spin $m(t)$ behavior of 2-D kinetic Ising model under a binary ($\pm h_0$) stochastic field $h(t)$. The time dependence of the stochastic field is such…
Deformation of Ising Hamiltonian by means of replacing a site spin $s_i$ by $s_i^q$ and statistics generalization with help of the substituting deformed probability $p_i^q$ instead of $p_i$ are studied jointly within mean--field scheme.…
We investigate the steady-state phase transitions in an all-to-all transverse-field Ising model subjected to an environment. The considered model is composed of two ingredient Hamiltonians. The orientation of the external field, which is…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
Interdependence is a fundamental ingredient to analyze the stability of many real-world complex systems featuring functional liasons. Yet, physical realizations of this coupling are still unknown, due to the lack of a theoretical framework…
We examine dynamic coupling and feedback effects between High Frequency Traders (HFTs) and how they can destabilize markets. We develop a general framework for modelling dynamic interaction based on recurrence relations, and use this to…