Multiple Time Series Ising Model for Financial Market Simulations

3rd International Conference on Mathematical Modeling in Physical Sciences

物理学;数学

Takaishi, Tetsuya^1

Hiroshima University of Economics, Hiroshima

731-0192, Japan^1

关键词: Financial market simulation;    Financial time series;    Multiple time series;    Non-zero cross correlation;    Volatility clustering;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/574/1/012149/pdf
DOI  :  10.1088/1742-6596/574/1/012149

来源: IOP

【 摘 要 】

In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility clustering that is often observed in the real financial markets. Furthermore we also find non-zero cross correlations between the volatilities from our model. Thus our model can simulate stock markets where volatilities of stocks are mutually correlated.