Large-Scale Simulation of Multi-Asset Ising Financial Markets

5th International Conference on Science & Engineering in Mathematics, Chemistry and Physics 2017

数学;化学;物理学

Takaishi, Tetsuya^1

Hiroshima University of Economics, Hiroshima

731-0192, Japan^1

关键词: Cross correlation matrices;    Financial system;    High volatility;    Large scale simulations;    Participation ratios;    System risk;    Volatility clustering;    Volatility index;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/820/1/012016/pdf
DOI  :  10.1088/1742-6596/820/1/012016

来源: IOP

【 摘 要 】

We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and volatility clustering and exhibits unstable periods indicated by the volatility index measured as the average of absolute-returns. Moreover, we determine that the cumulative risk fraction, which measures the system risk, changes at high volatility periods. We also calculate the inverse participation ratio (IPR) and its higher-power version, IPR6, from the absolute-return cross-correlation matrix. Finally, we show that the IPR and IPR6 also change at high volatility periods.