Large-Scale Simulation of Multi-Asset Ising Financial Markets

Tetsuya Takaishi

Papers from arXiv.org

Abstract: We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and volatility clustering and exhibits unstable periods indicated by the volatility index measured as the average of absolute-returns. Moreover, we determine that the cumulative risk fraction, which measures the system risk, changes at high volatility periods. We also calculate the inverse participation ratio (IPR) and its higher-power version, IPR6, from the absolute-return cross-correlation matrix. Finally, we show that the IPR and IPR6 also change at high volatility periods.

Date: 2018-01
New Economics Papers: this item is included in nep-cmp, nep-ore and nep-rmg
References: Add references at CitEc
Citations:

Published in J. Phys.: Conf. Ser. 820 (2017) 012016

Downloads: (external link)
http://arxiv.org/pdf/1801.05947 Latest version (application/pdf)

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:arx:papers:1801.05947

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().