Modeling of the financial market using the two-dimensional anisotropic Ising model

DOI10.1016/J.PHYSA.2017.04.090MaRDI QIDQ2147667zbMATHOpenAlexFDO

Authors Yanyan Li

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

zbMATH Keywords

Ising modelfinancial markettwo-dimensional

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 2026864 (Why is no real title available?)
• scientific article; zbMATH DE number 215190 (Why is no real title available?)
• A kinetic thermodynamics approach to the psychology of fluctuations in financial markets
• Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
• Bayesian disorder problems on filtered probability spaces
• Emergent dynamics of a macroeconomic agent based model with capital and credit
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Introduction to Econophysics
• On the probability distribution of stock returns in the Mike-Farmer model
• Self-organizing Ising model of financial markets
• The pricing of options and corporate liabilities

Cited in

(11)

• 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)
• Breaks down of the modeling of the financial market with addition of non-linear terms in the Itô stochastic process
• Ising model of financial markets with many assets
• The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists
• Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
• An Ising spin state explanation for financial asset allocation
• Effect of boundary conditions on stochastic Ising-like financial market price model
• Stochastic process with multiplicative structure for the dynamic behavior of the financial market
• Self-organizing Ising model of financial markets
• Price dynamics of the financial markets using the stochastic differential equation for a potential double well

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