Modeling of the financial market using the two-dimensional anisotropic Ising model
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Publication:2147667
DOI10.1016/J.PHYSA.2017.04.090zbMATH Open1495.91081OpenAlexW2609858845MaRDI QIDQ2147667FDOQ2147667
Publication date: 20 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.04.090
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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)
Cites Work
- The pricing of options and corporate liabilities
- Introduction to Econophysics
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- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Bayesian disorder problems on filtered probability spaces
- A kinetic thermodynamics approach to the psychology of fluctuations in financial markets
- Self-organizing Ising model of financial markets
- Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
- On the probability distribution of stock returns in the Mike-Farmer model
- Emergent dynamics of a macroeconomic agent based model with capital and credit
Cited In (8)
- Two-dimensional stochastic dynamics as model for time evolution of the financial market
- A Generalized 2D-Dynamical Mean-Field Ising Model with a Rich Set of Bifurcations (Inspired and Applied to Financial Crises)
- Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
- The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists
- Breaks down of the modeling of the financial market with addition of non-linear terms in the Itô stochastic process
- Stochastic process with multiplicative structure for the dynamic behavior of the financial market
- Price dynamics of the financial markets using the stochastic differential equation for a potential double well
- Self-organizing Ising model of financial markets
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