期刊
INTERNATIONAL JOURNAL OF MODERN PHYSICS C
卷 27, 期 4, 页码 -出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0129183116500388
关键词
Nonlinear Ising model; financial return; stock indices; CDS spread; fat-tail
资金
- Basic Science Research Program through the National Research Foundation of Korea (NRF) - Ministry of Science, ICT and Future Planning [NRF-2015R1A2A2A03005488]
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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