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Self-organizing Ising model of financial markets

Citations

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Cited by:

  1. Ali Hosseiny & Mohammad Bahrami & Antonio Palestrini & Mauro Gallegati, 2016. "Metastable Features of Economic Networks and Responses to Exogenous Shocks," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-22, October.
  2. Quanbo Zha & Gang Kou & Hengjie Zhang & Haiming Liang & Xia Chen & Cong-Cong Li & Yucheng Dong, 2020. "Opinion dynamics in finance and business: a literature review and research opportunities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-22, December.
  3. Simon Cramer & Torsten Trimborn, 2019. "Stylized Facts and Agent-Based Modeling," Papers 1912.02684, arXiv.org.
  4. Steven D. Silver & Marko Raseta, 2021. "An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data," Empirical Economics, Springer, vol. 60(2), pages 683-699, February.
  5. Papastamatiou, Konstantinos & Karakasidis, Theodoros, 2022. "Bubble detection in Greek Stock Market: A DS-LPPLS model approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
  6. Wang, Yougui & Stanley, H.E., 2009. "Statistical approach to partial equilibrium analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1173-1180.
  7. Godinho, Cresus F.L. & Abreu, Everton M.C., 2021. "The analysis of the dynamic optimization problem in econophysics from the point of view of the symplectic approach for constrained systems," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
  8. Bahrami, Mohammad & Chinichian, Narges & Hosseiny, Ali & Jafari, Gholamreza & Ausloos, Marcel, 2020. "Optimization of the post-crisis recovery plans in scale-free networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  9. Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
  10. Xu, Hai-Chuan & Zhang, Wei & Xiong, Xiong & Wang, Xue & Zhou, Wei-Xing, 2021. "The double-edged role of social learning: Flash crash and lower total volatility," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 405-420.
  11. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical regularities of order placement in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3173-3182.
  12. Lisa Borland & Yoan Hassid, 2010. "Market panic on different time-scales," Papers 1010.4917, arXiv.org.
  13. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
  14. Fang, Wen & Ke, Jinchuan & Wang, Jun & Feng, Ling, 2016. "Linking market interaction intensity of 3D Ising type financial model with market volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 531-542.
  15. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
  16. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
  17. Arthur Matsuo Yamashita Rios de Sousa & Hideki Takayasu & Misako Takayasu, 2017. "Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
  18. Kostanjcar, Zvonko & Jeren, Branko & Juretic, Zeljan, 2012. "Impact of uncertainty in expected return estimation on stock price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5563-5571.
  19. Mario Gutiérrez-Roig & Carlota Segura & Jordi Duch & Josep Perelló, 2016. "Market Imitation and Win-Stay Lose-Shift Strategies Emerge as Unintended Patterns in Market Direction Guesses," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-19, August.
  20. Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel, 2013. "Analysis of non-stationary dynamics in the financial system," Economics Letters, Elsevier, vol. 121(3), pages 454-457.
  21. Eckrot, A. & Jurczyk, J. & Morgenstern, I., 2016. "Ising model of financial markets with many assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 250-254.
  22. Biondi, Yuri & Giannoccolo, Pierpaolo & Galam, Serge, 2012. "Formation of share market prices under heterogeneous beliefs and common knowledge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5532-5545.
  23. L. L. B. Miranda & L. S. Lima, 2024. "Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2685-2694, November.
  24. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  25. Silver, Steven D. & Raseta, Marko & Bazarova, Alina, 2023. "Stochastic resonance in the recovery of signal from agent price expectations," Chaos, Solitons & Fractals, Elsevier, vol. 174(C).
  26. Giannoccaro, Ilaria & Carbone, Giuseppe, 2017. "An Ising-based dynamic model to study the effect of social interactions on firm absorptive capacity," International Journal of Production Economics, Elsevier, vol. 194(C), pages 214-227.
  27. Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
  28. Vincenzo Crescimanna & Luca Di Persio, 2016. "Herd Behavior and Financial Crashes: An Interacting Particle System Approach," Journal of Mathematics, Hindawi, vol. 2016, pages 1-7, February.
  29. Bargigli, Leonardo & Tedeschi, Gabriele, 2014. "Interaction in agent-based economics: A survey on the network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 1-15.
  30. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2020. "Robust Mathematical Formulation And Probabilistic Description Of Agent-Based Computational Economic Market Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 23(06), pages 1-41, September.
  31. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
  32. Lan, Yun & Fang, Wen, 2024. "Mechanisms of investors’ bounded rationality and market herding effect by the stochastic Ising financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 648(C).
  33. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2019. "Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models," Papers 1904.04951, arXiv.org, revised Mar 2021.
  34. Zhong, Li-Xin & Xu, Wen-Juan & Chen, Rong-Da & Zhong, Chen-Yang & Qiu, Tian & Ren, Fei & He, Yun-Xing, 2018. "Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 301-310.
  35. Thomas Bury, 2013. "A statistical physics perspective on criticality in financial markets," Papers 1310.2446, arXiv.org, revised Jan 2014.
  36. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.
  37. Luca Fraccascia & Ilaria Giannoccaro & Vito Albino, 2019. "Response to: Comment on “Resilience of Complex Systems: State of the Art and Directions for Future Research”," Complexity, Hindawi, vol. 2019, pages 1-3, July.
  38. Zhong, Li-Xin & Xu, Wen-Juan & Chen, Rong-Da & Zhong, Chen-Yang & Qiu, Tian & Shi, Yong-Dong & Wang, Li-Liang, 2016. "A generalized voter model with time-decaying memory on a multilayer network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 95-105.
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