文献类型：期刊文献

英文题名：Self-organizing Ising model of financial markets

作者：Zhou, W.-X.[1]; Sornette, D.[2]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China;[3]ETH, Dept Management Technol & Econ, CH-8032 Zurich, Switzerland

年份：2007

卷号：55

期号：2

起止页码：175

外文期刊名：EUROPEAN PHYSICAL JOURNAL B

收录：;EI(收录号：20071010465441);WOS:【SSCI(收录号:WOS:000244306300008)，SCI-EXPANDED(收录号:WOS:000244306300008)】；

语种：英文

外文关键词：Feedback - Learning systems - Magnetic fields - Mathematical models

摘要：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.