Large-Scale Simulation of Multi-Asset Ising Financial Markets

[摘要] We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and volatility clustering and exhibits unstable periods indicated by the volatility index measured as the average of absolute-returns. Moreover, we determine that the cumulative risk fraction, which measures the system risk, changes at high volatility periods. We also calculate the inverse participation ratio (IPR) and its higher-power version, IPR6, from the absolute-return cross-correlation matrix. Finally, we show that the IPR and IPR6 also change at high volatility periods.

[发布机构] Hiroshima University of Economics, Hiroshima; 731-0192, Japan^1

[效力级别] 化学

[关键词] Cross correlation matrices;Financial system;High volatility;Large scale simulations;Participation ratios;System risk;Volatility clustering;Volatility index