Ordered phase and non-equilibrium fluctuation in stock market
Jun-ichi Maskawa
Abstract
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences of up and down spins, and the Hamiltonian of the system is expressed by spin-spin interactions as in spin glass models of disordered magnetic systems. Through the analysis of Dow-Jones industrial portfolio consisting of 30 stock issues by this model, we find a non-equilibrium fluctuation mode on the point slightly below the boundary between ordered and disordered phases. The remaining 29 modes are still in disordered phase and well described by Gibbs distribution. The variance of the fluctuation is outlined by the theoretical curve and peculiarly large in the non-equilibrium mode compared with those in the other modes remaining in ordinary phase.
Create a lesson
Related papers
Dynamically Reentrant Skyrmion Phase in Oscillating Magnetic Fields
Z. Demir Vatansever, E. Vatansever, A. Vasilopoulos et al.
Mutual linearity in semi-Markov networks
Julian B. Voits, Ulrich S. Schwarz
Steady states in asymmetric exclusion processes with reactions: Fluctuations and non-mean field behaviour
Rohn Chatterjee, Atri Goswami, Sudip Mukherjee
Marginal Operator Deformations and Pseudocriticality in Baxter--Wu Models
Hyun-Yong Lee, Naoki Kawashima, Nikolaos G. Fytas et al.
Kardar--Parisi--Zhang density hydrodynamics in a coherent XXZ--ASEP Lindbladian
Yansheng Liu, Daoguang Li, Kaixiang Lu et al.
Brownian gyrator model with stochastic resetting
Satya N. Majumdar, Gregory Schehr, Pascal Viot et al.