英文标题：
《Multiple Time Series Ising Model for Financial Market Simulations》
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作者：
Tetsuya Takaishi
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最新提交年份：
2016
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英文摘要：
  In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility clustering that is often observed in the real financial markets. Furthermore we also find non-zero cross correlations between the volatilities from our model. Thus our model can simulate stock markets where volatilities of stocks are mutually correlated.
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中文摘要：
本文提出了一个模拟多个金融时间序列的Ising模型。我们的模型引入了耦合到其他系统自旋的相互作用。我们模型的模拟结果表明，时间序列表现出真实金融市场中经常观察到的波动性聚类。此外，我们还发现我们模型中的波动率之间存在非零的交叉相关性。因此，我们的模型可以模拟股票波动率相互关联的股票市场。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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