Untangling complex networks: risk minimization in financial markets through accessible spin glass ground states.
Untangling complex networks: risk minimization in financial markets through accessible spin glass ground states.
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DOI：
10.1016/j.physa.2010.04.005
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发表时间：
2010-08-15
影响因子：
3.3
通讯作者：
Lichtarge, Olivier
中科院分区：
文献类型：
--
作者：
Lisewski, Andreas Martin;Lichtarge, Olivier
一再发生的国际金融危机对社会造成重大损害，并强调需要有控制风险和消除市场不确定性的机制或战略。不幸的是，复杂的市场互动网络经常混淆优化金融风险的理性方法。在这里，我们表明，投资者可以克服这种复杂性，并在任何给定的预期回报率的投资组合模型中，提供相对保证金要求保持低于一个关键的，经验可测量的值，在全球范围内最大限度地减少风险。在实践中，对于有中央监管保证金要求的市场，合理的稳定策略是保持足够小的保证金。这一结果来自随机场自旋玻璃伊辛模型的基态，当相对自旋耦合受到网络拉普拉斯矩阵范数的限制时，该模型可以通过凸优化精确计算。在这种情况下，这种新方法对经验数据中的噪声具有鲁棒性，并且也可能与整个科学领域研究的具有受挫相互作用的复杂网络广泛相关。
Recurrent international financial crises inflict significant damage to societies and stress the need for mechanisms or strategies to control risk and tamper market uncertainties. Unfortunately, the complex network of market interactions often confounds rational approaches to optimize financial risks. Here we show that investors can overcome this complexity and globally minimize risk in portfolio models for any given expected return, provided the relative margin requirement remains below a critical, empirically measurable value. In practice, for markets with centrally regulated margin requirements, a rational stabilization strategy would be keeping margins small enough. This result follows from ground states of the random field spin glass Ising model that can be calculated exactly through convex optimization when relative spin coupling is limited by the norm of the network's Laplacian matrix. In that regime, this novel approach is robust to noise in empirical data and may be also broadly relevant to complex networks with frustrated interactions that are studied throughout scientific fields.
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DOI：
10.1073/pnas.89.11.4918
发表时间：
1992-06-01
影响因子：
11.1
作者：
GOLDSTEIN, RA;LUTHEYSCHULTEN, ZA;WOLYNES, PG
通讯作者：
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影响因子：
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影响因子：
64.8
作者：
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通讯作者：
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影响因子：
3.3
作者：
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通讯作者：
Potters, M
DOI：
10.1016/s0378-4371(02)01049-x
发表时间：
2002-11-01
影响因子：
3.3
作者：
Rosenow, B;Gopikrishnan, P;Stanley, HE
通讯作者：
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