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Ising type models applied to Geophysics and high frequency market data

Author

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  • Mariani, M.C.
  • Bezdek, P.
  • Serpa, L.
  • Florescu, I.

Abstract

The classical Ising model was used to re-create the ferromagnetic phenomenon in statistical mechanics. The model describes the behavior of atoms in a lattice. Each atom may interact only with its neighbors, and has two states called spins. When the atoms polarize their spins, the resulting material exhibits a net magnetization. A similar model has been used before in financial math: the spins correspond to the buy/sell position of a trader and the polarization is equivalent with all the traders in the market wanting to sell. This leads to a market crash. In this work, we present extensions and applications to geophysics and high frequency market data.

Suggested Citation

  • Mariani, M.C. & Bezdek, P. & Serpa, L. & Florescu, I., 2011. "Ising type models applied to Geophysics and high frequency market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4396-4402.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:23:p:4396-4402
    DOI: 10.1016/j.physa.2011.07.011
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    References listed on IDEAS

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    1. Yuri Fialko, 2006. "Interseismic strain accumulation and the earthquake potential on the southern San Andreas fault system," Nature, Nature, vol. 441(7096), pages 968-971, June.
    2. Sornette, Didier & Johansen, Anders, 1997. "Large financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 411-422.
    3. Anders Johansen & Olivier Ledoit & Didier Sornette, 2000. "Crashes As Critical Points," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 219-255.
    4. Mariani, M.C. & Liu, Y., 2007. "A new analysis of the effects of the Asian crisis of 1997 on emergent markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 307-316.
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    Cited by:

    1. Mariani, Maria C. & Tweneboah, Osei K., 2016. "Stochastic differential equations applied to the study of geophysical and financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 170-178.
    2. Beccar-Varela, Maria P. & Mariani, Maria C. & Tweneboah, Osei K. & Florescu, Ionut, 2017. "Analysis of the Lehman Brothers collapse and the Flash Crash event by applying wavelets methodologies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 162-171.
    3. Beccar-Varela, Maria P. & Gonzalez-Huizar, Hector & Mariani, Maria C. & Tweneboah, Osei K., 2016. "Use of wavelets techniques to discriminate between explosions and natural earthquakes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 42-51.
    4. Mariani, Maria C. & Basu, Kanadpriya, 2015. "Spline interpolation techniques applied to the study of geophysical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 68-79.
    5. Mariani, M.C. & Florescu, I. & SenGupta, I. & Beccar Varela, M.P. & Bezdek, P. & Serpa, L., 2013. "Lévy models and scale invariance properties applied to Geophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 824-839.
    6. Habtemicael, Semere & SenGupta, Indranil, 2014. "Ornstein–Uhlenbeck processes for geophysical data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 147-156.

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