Ising type models applied to Geophysics and high frequency market data

M.C. Mariani, P. Bezdek, L. Serpa and I. Florescu

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 23, 4396-4402

Abstract: The classical Ising model was used to re-create the ferromagnetic phenomenon in statistical mechanics. The model describes the behavior of atoms in a lattice. Each atom may interact only with its neighbors, and has two states called spins. When the atoms polarize their spins, the resulting material exhibits a net magnetization. A similar model has been used before in financial math: the spins correspond to the buy/sell position of a trader and the polarization is equivalent with all the traders in the market wanting to sell. This leads to a market crash. In this work, we present extensions and applications to geophysics and high frequency market data.

Keywords: Crash analysis; Phase change; Earthquake modeling (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:23:p:4396-4402

DOI: 10.1016/j.physa.2011.07.011

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