Simulation of financial market via nonlinear Ising model
- Authors
- Ko, Bonggyun; Song, Jae Wook; Chang, Woojin
- Issue Date
- Apr-2016
- Publisher
- WORLD SCIENTIFIC PUBL CO PTE LTD
- Keywords
- CDS spread; fat-tail; financial return; Nonlinear Ising model; stock indices
- Citation
- INTERNATIONAL JOURNAL OF MODERN PHYSICS C, v.27, no.4, pp.1 - 15
- Indexed
- SCIE
SCOPUS
- Journal Title
- INTERNATIONAL JOURNAL OF MODERN PHYSICS C
- Volume
- 27
- Number
- 4
- Start Page
- 1
- End Page
- 15
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/154790
- DOI
- 10.1142/S0129183116500388
- ISSN
- 0129-1831
- Abstract
- In this research, we propose a practical method for simulating the financial return series whose distribution has a specific heaviness. We employ the Ising model for generating financial return series to be analogous to those of the real series. The similarity between real financial return series and simulated one is statistically verified based on their stylized facts including the power law behavior of tail distribution. We also suggest the scheme for setting the parameters in order to simulate the financial return series with specific tail behavior. The simulation method introduced in this paper is expected to be applied to the other financial products whose price return distribution is fat-tailed.
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