Ising model of financial markets with many assets

A. Eckrot, J. Jurczyk and I. Morgenstern

Physica A: Statistical Mechanics and its Applications, 2016, vol. 462, issue C, 250-254

Abstract: Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of assets. We find that a separation of news into different channels leads to sector structures in the cross correlations, similar to those found in real markets.

Keywords: Econophysics; Financial markets; Ising model (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:462:y:2016:i:c:p:250-254

DOI: 10.1016/j.physa.2016.06.045

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