多资产Ising金融市场的大规模模拟

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英文标题：
《Large-Scale Simulation of Multi-Asset Ising Financial Markets》
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作者：
Tetsuya Takaishi
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最新提交年份：
2018
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英文摘要：
  We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and volatility clustering and exhibits unstable periods indicated by the volatility index measured as the average of absolute-returns. Moreover, we determine that the cumulative risk fraction, which measures the system risk, changes at high volatility periods. We also calculate the inverse participation ratio (IPR) and its higher-power version, IPR6, from the absolute-return cross-correlation matrix. Finally, we show that the IPR and IPR6 also change at high volatility periods.
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中文摘要：
我们对基于Ising的金融市场模型进行了大规模模拟，该模型包括300个资产时间序列。该模型模拟的金融系统表现出厚尾收益分布和波动率聚类，并表现出波动率指数（衡量为绝对收益的平均值）所指示的不稳定时期。此外，我们确定衡量系统风险的累积风险分数在高波动期发生变化。我们还根据绝对收益互相关矩阵计算了逆参与比（IPR）及其高倍版本IPR6。最后，我们表明，IPR和IPR6在高波动期也会发生变化。
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分类信息：

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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关键词：金融市场 大规模 isi ING Quantitative