Modeling of the financial market using the two-dimensional anisotropic Ising model

L.S. Lima

Physica A: Statistical Mechanics and its Applications, 2017, vol. 482, issue C, 544-551

Abstract: We have used the two-dimensional classical anisotropic Ising model in an external field and with an ion single anisotropy term as a mathematical model for the price dynamics of the financial market. The model presented allows us to test within the same framework the comparative explanatory power of rational agents versus irrational agents with respect to the facts of financial markets. We have obtained the mean price in terms of the strong of the site anisotropy term Δ which reinforces the sensitivity of the agent’s sentiment to external news.

Keywords: Financial market; Ising model; Two-dimensional (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:482:y:2017:i:c:p:544-551

DOI: 10.1016/j.physa.2017.04.090

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