Regensburg 2016 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 15: Economic models II

SOE 15.2: Talk

Wednesday, March 9, 2016, 12:30–12:45, H36

Ising model of financial markets with many assets — •Alexander Eckrot and Jan Jurczyk — Universität Regensburg, Regensburg, Germany

In the past many models have emerged with the purpose of studying the regularities of financial markets. Most of these models focused on markets with only one asset. Since these models can not catch the complex correlations between the prices of different assets, we want to take a further step and propose an Ising model of a multi-asset market. This model able to reproduce the most important stylized facts for every asset and shows complex cross-correlations between the assets.