par Bury, Thomas
Référence The European physical journal. B. Condensed matter physic, 86, 3, page (1--7)
Publication Publié, 2013-03-11
Article révisé par les pairs
Résumé : Financial markets are a classical example of complex systems as they are compound by manyinteracting stocks. As such, we can obtain a surprisingly good description of their structure by making therough simplification of binary daily returns. Spin glass models have been applied and gave some valuableresults but at the price of restrictive assumptions on the market dynamics or they are agent-based modelswith rules designed in order to recover some empirical behaviors. Here we show that the pairwise modelis actually a statistically consistent model with the observed first and second moments of the stocksorientation without making such restrictive assumptions. This is done with an approach only based onempirical data of price returns. Our data analysis of six major indices suggests that the actual interactionstructure may be thought as an Ising model on a complex network with interaction strengths scaling asthe inverse of the system size. This has potentially important implications since many properties of sucha model are already known and some techniques of the spin glass theory can be straightforwardly applied.Typical behaviors, as multiple equilibria or metastable states, different characteristic time scales, spatialpatterns, order-disorder, could find an explanation in this picture.