"Efficiency of a self-organizing Ising model of financial markets" by Jude Maria V. Antenorcruz and Rene C. Batac
 

Efficiency of a self-organizing Ising model of financial markets

College

College of Science

Department/Unit

Physics

Document Type

Article

Source Title

International Journal of Modern Physics C

Volume

35

Issue

1

Publication Date

2024

Abstract

Individual agents in ̄nancial markets decide based on market conditions, external news and information, and personal idiosyncrasies; from the collective action of such agents arise unpredictable market dynamics. These actions affect the overall market efficiency, which measures how well the price reflects all available information. Here, we implement the self-organizing Ising model of Zhou and Sornette [Eur. Phys. J. B 55, 175 (2007)] to probe the efficiency of simulated ̄nancial markets under various conditions. E±ciency is parametrized by the dispersion of the generalized Hurst exponents obtained from multifractal detrended fluctuation analysis. Scanning different model parameter sets reveals the regimes of efficiency values in simulated markets that compare with those obtained from real-world data.

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Disciplines

Finance and Financial Management

Keywords

Financial institutions; Time-series analysis; Ising model; Multifractals

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