Multiple Time Series Ising Model for Financial Market Simulations
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.
Code (0)
등록된 구현이 없습니다.
Tasks
ClusteringTime SeriesTime Series AnalysisSimilar Papers 제목 키워드 기반
Gaussian process imputation of multiple financial series
In Financial Signal Processing, multiple time series such as financial indicators, stock prices and exchange rates are strongly coupled due to their dependence on the latent state of the market and therefore they are req…
ImputationTime SeriesTime Series AnalysisImage Processing Tools for Financial Time Series Classification
The application of deep learning to time series forecasting is one of the major challenges in present machine learning. We propose a novel methodology that combines machine learning and image processing methods to define…
BIG-bench Machine LearningClassificationDenoisingGeneral Classification+4A wavelet analysis of inter-dependence, contagion and long memory among global equity markets
This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dim…
Time SeriesTime Series AnalysisTime-Causal VAE: Robust Financial Time Series Generator
We build a time-causal variational autoencoder (TC-VAE) for robust generation of financial time series data. Our approach imposes a causality constraint on the encoder and decoder networks, ensuring a causal transport fr…
DecoderStochastic OptimizationTime SeriesMetastable Financial Markets
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a …
Causal InferenceTime Series