On the equivalence between the kinetic Ising model and discrete autoregressive processes

DOI10.1088/1742-5468/abe946zbMath1504.82026arXiv2008.10666OpenAlexW3140790931MaRDI QIDQ4992318

Carlo Campajola, Fabrizio Lillo, Piero Mazzarisi, Daniele Tantari

Publication date: 8 June 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.10666

zbMATH Keywords

stochastic processeskinetic Ising modelsexact resultsmodels of financial markets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Dynamic lattice systems (kinetic Ising, etc.) and systems on graphs in time-dependent statistical mechanics (82C20)

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