NDLI: Statistical physics model for the collective price fluctuations of portfolios

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Proceedings Third International Conference on Computational Intelligence and Multimedia Applications. ICCIMA'99 (Cat. No.PR00300)

Statistical physics model for the collective price fluctuations of portfolios

Content Provider	IEEE Xplore Digital Library
Author	Maskawa, J.
Copyright Year	2001
Description	Author affiliation: Dept. of Manage. Inf., Fukuyama Heisei Univ., Hiroshima, Japan (Maskawa, J.)
Abstract	A statistical physics model for the collective price changes of stock portfolios is propose; it is an analogue to the spin glass model for a disordered magnetic system. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is expressed by long-range spin-spin interactions as in the Sherrington-Kirkpatrick model of spin glass (D. Sherrington and S. Kirkpatrick, 1975). The interaction coefficients between two stocks are determined by empirical data using fluctuation-response theorem. Our theory is applied to price changes of stocks in the Dow-Jones industrial portfolio. Monte Carlo simulations are performed based on the model. The resultant probability distributions of magnetization show good agreement with empirical data.
Starting Page	44
Ending Page	47
File Size	189668
Page Count	4
File Format	PDF
ISBN	0769513123
DOI	10.1109/ICCIMA.2001.970445
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2001-10-30
Publisher Place	Japan
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Physics Fluctuations Portfolios Character generation
Content Type	Text
Resource Type	Article

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