Linking market interaction intensity of 3D Ising type financial model with market volatility
From MaRDI portal
Publication:1619821
DOI10.1016/j.physa.2016.06.065zbMath1400.91394OpenAlexW2411013329MaRDI QIDQ1619821
Jun Wang, Ling Feng, Jinchuan Ke, Wen Fang
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2016.06.065
complexityMonte Carlo simulationcritical behavioreconophysicsstylized facts3D Ising type financial model
Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics (82B20)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Effect of boundary conditions on stochastic Ising-like financial market price model
- Time series analysis using composite multiscale entropy
- Quantifying complexity of financial short-term time series by composite multiscale entropy measure
- On the probability distribution of stock returns in the Mike-Farmer model
- Self-organizing Ising model of financial markets
- Fluctuations of stock price model by statistical physics systems
- Between complexity of modelling and modelling of complexity: an essay on econophysics
- Economic fluctuations and statistical physics: the puzzle of large fluctuations
- Linking agent-based models and stochastic models of financial markets
- Power-Law Distributions in Empirical Data
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
- Empirical properties of asset returns: stylized facts and statistical issues
- STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
