Multiple Time Series Ising Model for Financial Market Simulations

Tetsuya Takaishi

Papers from arXiv.org

Abstract: In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility clustering that is often observed in the real financial markets. Furthermore we also find non-zero cross correlations between the volatilities from our model. Thus our model can simulate stock markets where volatilities of stocks are mutually correlated.

Date: 2016-11
New Economics Papers: this item is included in nep-cmp and nep-fmk
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Published in Journal of Physics: Conference Series 574 (2015) 012149

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1611.08088

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