Berlin 2018 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 10: Financial Markets and Risk Management II

SOE 10.1: Vortrag

Dienstag, 13. März 2018, 11:30–11:45, MA 001

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

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. This model is able to reproduce the most important stylized facts. Furthermore we find that a separation of news into different channels leads to complex cross-correlations, similar to those found in real markets. We also investigate the impact of different decision functions used by the agents to determine the level of imitation.