Self-fulfilling Ising Model of Financial Markets

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dc.creatorZhou, Wei-Xing
dc.creatorSornette, Didier
dc.date2005-03-31
dc.date.accessioned2026-07-07T12:07:31Z
dc.date.available2026-07-07T12:07:31Z
dc.descriptionWe study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we test within the same model the hypothesis that agents are rational versus irrational. We find that the stylized facts of financial markets are reproduced only when agents are over-confident and mis-attribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the critical point.
dc.description4 RevTex pages including 3 eps figures
dc.identifierhttps://arxiv.org/abs/physics/0503230
dc.identifierhttp://arxiv.org/abs/physics/0503230
dc.identifierEuropean Physical Journal B 55(2), 175-181 (2007)
dc.identifierdoi:10.1140/epjb/e2006-00391-6
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208995
dc.subjectPhysics and Society
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleSelf-fulfilling Ising Model of Financial Markets
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