Ising model versus normal form game

The 2-spin Ising model in statistical mechanics and the 2×2 normal form game in game theory are compared. All configurations allowed by the second are recovered by the first when the only concern is about Nash equilibria. But it holds no longer when Pareto optimum considerations are introduced as in the prisoner’s dilemma. This gap can nevertheless be filled by adding a new coupling term to the Ising model, even if that term has up to now no physical meaning. An individual complete bilinear objective function is thus found to be sufficient to reproduce all possible configurations of a 2×2 game. Using this one-to-one mapping new perspectives for future research in both fields can be envisioned.     

Self-organizing Ising model of financial markets

We study a dynamical Ising-like model of agents' opinions (buy or sell) with learning, in which the coupling coefficients are re-assessed continuously in time according to how past external news (time-varying magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we find that the stylized facts of financial markets are reproduced only when agents misattribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the Ising critical point.     

Ferroelectricity in a diatomic Ising chain as investigated by the elastic Ising model

An elastic Ising model for a one-dimensional diatomic spin chain is proposed to explain the ferroelectricity induced by the collinear magnetic order with a low-excited energy state. A statistical theory based on this model is developed to calculate the electrical and magnetic properties of Ca₃CoMnO₆, a typical quasi-one-dimensional diatomic spin chain system. The calculated ferroelectric polarization and dielectric susceptibility show a good agreement with recently reported data on Ca₃Co_2-xMn_xO₆ (x ≈0.96) (Phys. Rev. Lett. 100 047601 (2008)), although the predicted magnetic susceptibility does not coincide well with experiment. We also address the rationality and deficiency of this model by including a first-order correction which improves the consistency between the model and experiment.     

Hitting time distributions in financial markets

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.     

Ferroelectricity in diatomic Ising chain as investigated by elastic Ising model

An elastic Ising model for a one-dimensional diatomic spin chain is proposed to explain the ferroelectricity induced by the collinear magnetic order with a low-excited energy state. A statistical theory based on this model is developed to calculate the electrical and magnetic properties of Ca₃CoMnO₆, a typical quasi-one-dimensional diatomic spin chain system. The calculated ferroelectric polarization and dielectric susceptibility show a good agreement with recently reported data on Ca₃Co_2-xMn_xO₆ (x ≈0.96) (Phys. Rev. Lett. 100 047601 (2008)), although the predicted magnetic susceptibility does not coincide well with experiment. We also address the rationality and deficiency of this model by including a first-order correction which improves the consistency between the model and experiment.     

On the mean-field Ising model in a random external field

We use a method developed by van Hemmen to obtain the free energy of the mean-field Ising model in a random external magnetic field. Some results of previous mean-field calculations are confirmed and generalized. The tricritical point in the global phase diagram is discussed in detail. We also consider different probability distributions of the random fields and provide some proofs regarding the conditions for the existence of a tricritical point.     

Metastability and the Ising model

We discuss a recent theorem which establishes a precise connection between (i) the approximate degeneracy of the zero eigenvalue for the generator of the Glauber dynamics of the Ising model in a small nonzero field and below the critical temperature, (ii) the existence of a partition of the configuration space into a normal region and a metastable region. This enables us to demonstrate that the recent approach to metastability of Davies and Martin may be viewed as a simple (although in some ways fairly crude) approximation to the conventional approach. We also obtain what appear to be the first results concerning the stability of metastable states under small perturbations.     

Dimers and the Ising model

We present a innovative relationship between ground states of the Ising model and dimer coverings which sheds new light on the Ising models with highly degenerate ground states and enables one to construct such models. Thanks to this relationship we also find the generating function for dimers as the appropriate limit of the free energy per spin for the Ising model.     

Interface motion in a two-dimensional Ising model with a field

We determine by Monte Carlo simulations the width of an interface between the stable phase and the metastable phase in a two-dimensional Ising model with a magnetic field, in the case of nonconversed order parameter (Glauber dynamics). At zero temperature, the width increases ast with–1/3, as predicted by earlier theories. As temperature increases, the value of the effective exponent that we measure decreases toward the value 1/4, which is the value in the absence of magnetic field.     

Geometry of financial markets—Towards information theory model of markets

Most parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe the theater of financial activities. We suppose that the objects of interest of agents, called here baskets, form a vector space over the reals. A portfolio is defined as an equivalence class of baskets containing assets in the same proportions. Therefore portfolios form a projective space. Cross ratios, being invariants of projective maps, form key structures in the proposed model. Quotation with respect to an asset Ξ (i.e. in units of Ξ) is given by linear maps. Among various types of metrics that have financial interpretation, the min-max metric on the space of quotations can be introduced. This metric has an interesting interpretation in terms of rates of return. It can be generalized so that to incorporate a new numerical parameter (called temperature) that describes agent's lack of knowledge about the state of the market. In a dual way, a metric on the space of market quotation is defined. In addition, one can define an interesting metric structure on the space of portfolios/quotation that is invariant with respect to hyperbolic (Lorentz) symmetries of the space of portfolios. The introduced formalism opens new interesting and possibly fruitful fields of research.     

A generalized spin model of financial markets

We reformulate the Cont-Bouchaud model of financial markets in terms of classical “super-spins” where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend this simplified model by switching on interactions among the super-spins to model the tendency of agencies getting influenced by the opinion of other managers. We also introduce a fictitious temperature (to model other random influences), and time-dependent local fields to model a slowly changing optimistic or pessimistic bias of traders. We point out close similarities between the price variations in our model with N super-spins and total displacements in an N-step Levy flight. We demonstrate the phenomena of natural and artificially created bubbles and subsequent crashes as well as the occurrence of “fat tails” in the distributions of stock price variations. Received 13 October 1998     

Domain growth in the three-dimensional dilute Ising model

We investigate the kinetics of domain growth in the three-dimensional Ising model with quenched random site dilution, using Monte Carlo simulation technique. A crossover from the power law growth regime to a much slower growth observed in our simulation is interpreted through the roughening of the interfaces by the quenched impurities. The results are also compared with the corresponding results in two dimensions.     

Diffusion-annihilation and the kinetics of the Ising model in one dimension

The relationship between the one-dimensional kinetic Ising model at zero temperature and diffusion-annihilation in one dimension is studied. Explicit asymptotic results for the average domain size, average magnetization squared, and pair-correlation function are derived for the Ising model, for arbitrary initial magnetization. For the case of zero initial magnetization (m ₀=0, a number of recent exact results for diffusion-annihilation with random initial conditions are obtained. However, for the casem ₀ not equal to zero, the asymptotic behavior turns out to be different from diffusion-annihilation with random initial conditions and at a finite density. In addition, in contrast to the case of diffusion-annihilation, the domain-size distribution scaling functionh(x) is found to depend nontrivially on the initial magnetization. The origin of these differences is clarified and the existence of nontrivial correlations in the initial wall distribution for finite initial magnetization is found to be responsible for these differences. Results of Monte Carlo simulations for the domain size distribution function for different initial magnetizations are also presented.This paper is dedicated to George Weiss on the occasion of his 60th birthday.     

Memory effect and multifractality of cross-correlations in financial markets

We introduce an instantaneous and an average instantaneous cross-correlation function to detect the temporal cross-correlations between individual stocks based on the daily data of the United States and the Chinese stock markets. The memory effect of the instantaneous cross-correlations is investigated by applying the detrended fluctuation analysis (DFA), where the DFA exponents can be partly explained by the correlation function from the common sense. Long-range memory is observed for the average instantaneous cross-correlations, and persists up to a month magnitude of timescale for the United States stock market and half a month magnitude of timescale for the Chinese stock market. In addition, multifractal nature is investigated by a multifractal detrended fluctuation analysis.     

The direct correlation function of a one-dimensional Ising model

The strictly finite range of the direct correlation function for a homogeneous nearest neughbor Ising chain is shown to persist in the presence of arbitrary site-dependent coupling constants and an arbitrary external field. A method is developed to examine the range of the direct correlation function for many-neighbor interactions. It is found from numerical examples that, in general, third-neighbor and higher interactions induce long-range direct correlations, as does the presence of a field in the second-neighbor case.     

Analyticity properties and a convergent expansion for the inverse correlation length of the low-temperatured-dimensional Ising model

We show that the inverse correlation lengthm(z) of the truncated spin-spin correlation function of theZ ^d Ising model with + or — boundary conditions admits the representationm(z) = –(4d–4)ln z(1–_d1) + r(z) for smallz=e ^–, i.e., large inverse temperatures is ad-dependent analytic function atz = 0, already known in closed form ford = 1 and 2; ford = 3 b_n can be computed explicitly from a finite number of the Z^d limits of z = 0 Taylor series coefficients of the finite lattice correlation function at a finite number of points ofZ ^d.     

Critical behaviour of the ferromagnetic Ising model on a triangular lattice

We use a new updated algorithm scheme to investigate the critical behaviour of the two-dimensional ferromagnetic Ising model on a triangular lattice with the nearest neighbour interactions. The transition is examined by generating accurate data for lattices with L= 8, 10, 12, 15, 20, 25, 30, 40 and 50. The updated spin algorithm we employ has the advantages of both a Metropolis algorithm and a single-update method. Our study indicates that the transition is continuous at T_c= 3.6403({2}). A convincing finite-size scaling analysis of the model yields υ=0.9995(21), β / υ = 0.12400({17}), γ / υ = 1.75223(22), γ '/υ=1.7555(22), α/υ= 0.00077(420) (scaling) and α / υ = 0.0010(42) (hyperscaling). The present scheme yields more accurate estimates for all the critical exponents than the Monte Carlo method, and our estimates are shown to be in excellent agreement with their predicted values.     

一维倾斜场伊辛模型中的纠缠特性

在一维倾斜场伊辛模型中, 利用并发度和Q测量函数分别对系统的两体纠缠和整体纠缠进行度量, 通过讨论系统中量子纠缠的动力学特性, 能够体现出系统的可积和不可积行为. 由系统基态的纠缠特性可以发现只要倾角不为零时, 系统的Q测量函数会随着磁场的增大而减少, 而用并发度刻画的系统的相变特性, 随着磁场倾角的增大发生了变化. 考虑系统的动力学行为发现, 在一维倾斜场伊辛模型中, 不可积性会抑制两体纠缠, 却促进系统整体纠缠生成. 关键词： 伊辛模型 不可积性 两体纠缠 整体纠缠     

Susceptibility of the Kagomé lattice Ising model

We explicitly calculate the zero-field magnetic susceptibility of the anisotropic Kagomé lattice Ising model on two different varieties of the parameter space. One of them is the limitH=0 of the solubility condition, obtained in a previous paper by Giacomini, for the model with magnetic field. The other one is the disorder variety of the model, for which a dimensional reduction occurs. These varieties do not contain any nontrivial critical behavior of the model. A functional relation is also established, which relates the zero-field susceptibility for ferromagnetic and competing interactions.