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Critical Ising Model and Financial Market

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  • Takeshi Inagaki

Abstract

We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time and another represents ensemble of stocks, and strength of response of investors to price change corresponds to inverse temperature of the system. At critical temperature, infinitely long correlation among number of trades along time is observed and power-law tail in distribution of price fluctuation appears.

Suggested Citation

  • Takeshi Inagaki, 2004. "Critical Ising Model and Financial Market," Papers cond-mat/0402511, arXiv.org, revised Feb 2004.
    • Handle: RePEc:arx:papers:cond-mat/0402511
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    Cited by:

    1. Quanbo Zha & Gang Kou & Hengjie Zhang & Haiming Liang & Xia Chen & Cong-Cong Li & Yucheng Dong, 2020. "Opinion dynamics in finance and business: a literature review and research opportunities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-22, December.

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