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- W3124766241 abstract "In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied to characterize the behaviour of the system. The approach is illustrated on financial data, using three inference methods -- equilibrium, synchronous and asynchronous inference -- to construct functional connections between stocks. We show that the traded volume information is enough to obtain well known results about financial markets, which use however the presumably richer price information: collective behaviour (market mode) and strong interactions within industry sectors. Synchronous and asynchronous Ising inference methods give results which are coherent with equilibrium ones, and more detailed since the obtained interaction networks are directed." @default.
- W3124766241 created "2021-02-01" @default.
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- W3124766241 date "2013-11-01" @default.
- W3124766241 modified "2023-09-27" @default.
- W3124766241 title "Financial interaction networks inferred from traded volumes" @default.
- W3124766241 hasPublicationYear "2013" @default.
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