Spin-glass like network model for stock market
Spin-glass like network model for stock market
复制标题
股票市场的类旋转玻璃网络模型
DOI：
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发表时间：
2002
期刊：
影响因子：
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通讯作者：
Jun
中科院分区：
文献类型：
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作者：
Jun
建立了股票组合价格集体变动的统计物理模型。这与Mezard等1987年提出的无序磁系统的自旋玻璃模型相似。在这个模型中，价格变化的时间序列被编码成向上和向下旋转的序列。系统的哈密顿量用自旋玻璃的Sherrington-Kirtpatrick（S-K）模型（Sherrington et al.1975）中的长程自旋-自旋相互作用表示。运用波动反应定理，实证确定了两种股票之间的相互作用系数.
A statistical physics model for the collective price changes of stock portfolios is proposed. That is an analogue to spin glass model (Mezard et al. 1987) for 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 SherringtonKirtpatrick (S-K) model (Sherrington et al. 1975) of spin glass. The interaction coefficients between two stocks are determined by empirical using fluctuationresponse theorem.