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• W1621729265 abstract "In this paper we investigate an Ising model which simulates multiple financial time series. The model is called the multiple time series Ising model that introduces the interaction which couples to spins of other systems. We analyze the return time series data simulated by the model and find that several stylized facts such as volatility clustering appear in the model. Non-zero cross correlations between the absolute returns are also present in the model. On the other hand no cross correlations between returns are observed. We also estimate volatility of the return time series by the GARCH model and check the view of the finite-variance mixture of normal distributions for the return data by using the GARCH volatility. The results are found to be consistent with this veiw." @default.
• W1621729265 created "2016-06-24" @default.
• W1621729265 creator A5071144499 @default.
• W1621729265 date "2015-06-01" @default.
• W1621729265 modified "2023-09-23" @default.
• W1621729265 title "Some properties of multiple time series Ising model in financial market simulations" @default.
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• W1621729265 doi "https://doi.org/10.1109/cyber.2015.7287918" @default.
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