Self-organizing Ising model of financial markets

被引：112
|
作者：
Zhou, W. -X. [1 ]
Sornette, D.
机构：
[1] E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China
[2] E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China
[3] ETH, Dept Management Technol & Econ, CH-8032 Zurich, Switzerland
来源：
EUROPEAN PHYSICAL JOURNAL B | 2007年 / 55卷 / 02期
关键词：
D O I：
10.1140/epjb/e2006-00391-6
中图分类号：
O469 [凝聚态物理学];
学科分类号：
070205 ;
摘要：
We study a dynamical Ising-like model of agents' opinions (buy or sell) with learning, in which the coupling coefficients are re-assessed continuously in time according to how past external news (time-varying magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we find that the stylized facts of financial markets are reproduced only when agents misattribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the Ising critical point.
引用
收藏
页码：175 / 181
页数：7
相关论文
共 50 条
  • [1] Self-organizing Ising model of financial markets
    W.-X. Zhou
    D. Sornette
    [J]. The European Physical Journal B, 2007, 55 : 175 - 181
  • [2] Efficiency of a self-organizing Ising model of financial markets
    Antenorcruz, Jude Maria V.
    Batac, Rene C.
    [J]. INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2024, 35 (01):
  • [3] Self-organizing three-dimensional Ising model of financial markets
    Guimaraes, W. R. S.
    Lima, L. S.
    [J]. PHYSICAL REVIEW E, 2021, 103 (06)
  • [4] Self-organizing Ising model of artificial financial markets with small-world network topology
    Zhao, Haijie
    Zhou, Jie
    Zhang, Anghui
    Su, Guifeng
    Zhang, Yi
    [J]. EPL, 2013, 101 (01)
  • [5] COLLECTIVE MEMORY IN FINANCIAL MARKETS: FROM HALBWACHS TO SELF-ORGANIZING KOHONEN MAPS
    Sorrosal Forradellas, Ma Teresa
    Ramirez Sarrio, Didac
    [J]. CUADERNOS DEL CIMBAGE, 2005, 7 : 25 - 42
  • [6] ENHANCING SELF-ORGANIZING MAP CAPABILITIES WITH GRAPH CLUSTERING: AN APPLICATION TO FINANCIAL MARKETS
    Resta, Marina
    [J]. INTELLIGENT SYSTEMS IN ACCOUNTING FINANCE & MANAGEMENT, 2016, 23 (1-2): : 21 - 46
  • [7] Self-organizing, two-temperature Ising model describing human segregation
    Odor, Geza
    [J]. INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2008, 19 (03): : 393 - 398
  • [8] Searching financial patterns with self-organizing maps
    He, HX
    Chen, SH
    [J]. PROCEEDINGS OF THE FIFTH JOINT CONFERENCE ON INFORMATION SCIENCES, VOLS 1 AND 2, 2000, : A968 - A977
  • [9] Exploiting the Self-Organizing Financial Stability Map
    Sarlin, Peter
    [J]. ADVANCES IN KNOWLEDGE-BASED AND INTELLIGENT INFORMATION AND ENGINEERING SYSTEMS, 2012, 243 : 248 - 257
  • [10] Exploiting the self-organizing financial stability map
    Sarlin, Peter
    [J]. ENGINEERING APPLICATIONS OF ARTIFICIAL INTELLIGENCE, 2013, 26 (5-6) : 1532 - 1539
12345