| Presentation | 2013-01-24 Characterizing financial crisis by means of the three states random field Ising model Mitsuaki MUROTA, Jun-ichi INOUE, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | We extend the formulation of time-series prediction using Ising model given by Kaizouji (2001) or Higano et.al (2012) by means of three states Ising model under a random field on each trader. At the economic crisis due to disasters or international disputes, the stock price suddenly drops. The macroscopic phenomena should be explained from the corresponding microscopic view point because there are existing a huge number of active traders behind the crushes. Hence, here we attempt to model the artificial financial market in which each trader z can choose his/her decision among 'buying', 'selling' or 'watching calmly', each of which corresponds to a realization of the three state Ising spin, namely1 Si=+1, -1 and Si=0, respectively. The decision making of traders is given by the Gibbs-Boltzmann distribution with the energy function. The energy function contains three distinct terms, namely, the ferromagnetic two-body interaction term (endogenous information), random field term as external in-formation (exogenous news), and chemical potential term which controls the number of traders who is watching the market calmly at the instance. We specify the details of the model system from the past financial market data to determine the conjugate hyper-parameters and draw each parameter flow as a function of time-step. Especially we will examine to what extent one can characterize the crisis by means of a brand-new order parameter which is defined as the number of 'active agents' who post their decision Si=±1, instead of Si=0. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Time-series prediction / Random-field Ising model / Hyper-parameter estimation / Econophysics |
| Paper # | NLP2012-115,NC2012-105 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2013/1/17(1days) |
| Place (in Japanese) | (See Japanese page) |
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| Topics (in Japanese) | (See Japanese page) |
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| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Characterizing financial crisis by means of the three states random field Ising model |
| Sub Title (in English) | |
| Keyword(1) | Time-series prediction |
| Keyword(2) | Random-field Ising model |
| Keyword(3) | Hyper-parameter estimation |
| Keyword(4) | Econophysics |
| 1st Author's Name | Mitsuaki MUROTA |
| 1st Author's Affiliation | Graduate School of Information Science and Technology, Hokkaido University() |
| 2nd Author's Name | Jun-ichi INOUE |
| 2nd Author's Affiliation | Graduate School of Information Science and Technology, Hokkaido University |
| Date | 2013-01-24 |
| Paper # | NLP2012-115,NC2012-105 |
| Volume (vol) | vol.112 |
| Number (no) | 389 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |