期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 461, 期 -, 页码 531-542出版社
ELSEVIER
DOI: 10.1016/j.physa.2016.06.065
关键词
Econophysics; Critical behavior; 3D Ising type financial model; Monte Carlo simulation; Stylized facts; Complexity
资金
- NSFC [71271026]
- China Postdoctoral Science Foundation [2015M570027]
- Fundamental Research Funds for the Central Universities [2015JBM124]
Microscopic interaction models in physics have been used to investigate the complex phenomena of economic systems. The simple interactions involved can lead to complex behaviors and help the understanding of mechanisms in the financial market at a systemic level. This article aims to develop a financial time series model through 3D (three-dimensional) Ising dynamic system which is widely used as an interacting spins model to explain the ferromagnetism in physics. Through Monte Carlo simulations of the financial model and numerical analysis for both the simulation return time series and historical return data of Hushen 300 (HS300) index in Chinese stock market, we show that despite its simplicity, this model displays stylized facts similar to that seen in real financial market. We demonstrate a possible underlying link between volatility fluctuations of real stock market and the change in interaction strengths of market participants in the financial model. In particular, our stochastic interaction strength in our model demonstrates that the real market may be consistently operating near the critical point of the system. (C) 2016 Elsevier B.V. All rights reserved.
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