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Ising model of financial markets with many assets

Eckrot, A. ; Jurczyk, J. ; Morgenstern, I.



Abstract

Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of ...

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