英文标题：
《Characterizing financial crisis by means of the three states random
  field Ising model》
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作者：
Mitsuaki Murota, Jun-ichi Inoue
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最新提交年份：
2013
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英文摘要：
  We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). 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 $i$ can choose his/her decision among `buying\', `selling\' or `staying (taking a wait-and-see attitude)\', each of which corresponds to a realization of the three state Ising spin, namely, $S_{i}=+1$, -1 and $S_{i}=0$, 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 information (exogenous news), and chemical potential term which controls the number of traders who are 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 --- `turnover\' --- which is defined as the number of active traders who post their decisions $S_{i}=1,-1$, instead of $S_{i}=0$.
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中文摘要：
我们提出了一个利用三态随机场伊辛模型（RFIM）进行时间序列预测的公式。在灾难或国际争端导致的经济危机中，股价突然下跌。宏观现象应该从相应的微观角度来解释，因为在这些交易背后存在着大量活跃的交易者。因此，在这里，我们试图模拟一个人工金融市场，在这个市场中，每个交易者$i$可以在“买入”、“卖出”或“停留（采取观望态度）”中选择他/她的决定，每个决定分别对应于三种状态Ising自旋的实现，即，$S_{i}=+1$，-1和$S_{i}=0$。交易者的决策由带有能量函数的吉布斯-玻尔兹曼分布给出。能量函数包含三个不同的项，即铁磁双体相互作用项（内生信息）、作为外部信息的随机场项（外生信息）和控制此时冷静观察市场的交易者数量的化学势项。我们从过去的金融市场数据中指定模型系统的细节，以确定共轭超参数，并绘制每个参数流作为时间步长的函数。特别是，我们将研究通过一个全新的订单参数——“营业额”——在多大程度上可以描述危机，该参数定义为发布决策的活跃交易者的数量$S{i}=1，-1$，而不是$S{i}=0$。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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