Dynamical cross-correlation of multiple time series Ising model

Tetsuya Takaishi ()
Additional contact information
Tetsuya Takaishi: Hiroshima University of Economics

Evolutionary and Institutional Economics Review, 2016, vol. 13, issue 2, No 12, 455-468

Abstract: Abstract Using an Ising-based model extended to simulate multiple stock time series, we perform a large-scale simulation for a financial system with 100 stocks. We find that the financial system shows fat-tailed return distributions and the system volatility level measured as an average of absolute-returns changes over time. We investigate the dynamical properties of cross-correlation matrices among stocks and find that the eigenvalue distributions of the cross-correlation matrices deviate from those of the random matrix theory. It is found that the cumulative risk fraction (CRF) constructed from the largest eigenvalues changes at periods where the volatility level is high. The inverse participation ratio (IPR) and its higher-power version, IPR6, also exhibit the changes at the same high volatility periods. Therefore, the CRF, IPR, and IPR6 are expected to be useful measurements to identify abnormal states such as high-volatility periods.

Keywords: Ising model; Cross-correlation; Random matrix theory; Cumulative risk fraction; Inverse participation ratio; 62P20; 91B80 (search for similar items in EconPapers)
JEL-codes: C15 G01 G17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1007/s40844-016-0051-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eaiere:v:13:y:2016:i:2:d:10.1007_s40844-016-0051-4

Ordering information: This journal article can be ordered from
https://www.springer ... theory/journal/40844

DOI: 10.1007/s40844-016-0051-4

Access Statistics for this article

Evolutionary and Institutional Economics Review is currently edited by Kiichiro Yagi, Yuji Aruka and Takahiro Fujimoto

More articles in Evolutionary and Institutional Economics Review from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().