Ising model of financial markets with many assets

DOI10.1016/j.physa.2016.06.045zbMath1400.91677OpenAlexW2442223065MaRDI QIDQ1619880

R. Smith

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.2016.06.045

zbMATH Keywords

Ising modelfinancial marketseconophysics

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Dynamic lattice systems (kinetic Ising, etc.) and systems on graphs in time-dependent statistical mechanics (82C20)

Related Items (1)

ENHANCED INDEX TRACKING MODEL WITH ENTROPY MAXIMIZATION

Cites Work

• Unnamed Item
• On the probability distribution of stock returns in the Mike-Farmer model
• Self-organizing Ising model of financial markets
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Empirical properties of asset returns: stylized facts and statistical issues
• Quantifying the dynamics of financial correlations

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