A threshold model of financial markets

We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering

Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy

Using a recently developed method of noise level estimation that makes use of properties of the coarse grained-entropy we have analyzed the noise level for the Dow Jones index and a few stocks from the New York Stock Exchange. We have found that the noise level ranges from 40 to 80 percent of the signal variance. The condition of a minimal noise level has been applied to construct optimal portfolios from selected shares. We show that implementation of a corresponding threshold investment strategy leads to positive returns for historical data.Comment: 6 pages, 1 figure, 1 table, Proceedings of the conference APFA4. See http://www.chaosandnoise.or

Comment on "Mean-field solution of structural balance dynamics in nonzero temperature"

In recent numerical and analytical studies, Rabbani {\it et al.} [Phys. Rev. E {\bf 99}, 062302 (2019)] observed the first-order phase transition in social triads dynamics on complete graph with $N=50$ nodes. With Metropolis algorithm they found critical temperature on such graph equal to 26.2. In this comment we extend their main observation in more compact and natural manner. In contrast to the commented paper we estimate critical temperature $T^c$ for complete graph not only with $N=50$ nodes but for any size of the system. We have derived formula for critical temperature $T^c=(N-2)/a^c$, where $N$ is the number of graph nodes and $a^c\approx 1.71649$ comes from combination of heat-bath and mean-field approximation. Our computer simulation based on heat-bath algorithm confirm our analytical results and recover critical temperature $T^c$ obtained earlier also for $N=50$ and for systems with other sizes. Additionally, we have identified---not observed in commented paper---phase of the system, where the mean value of links is zero but the system energy is minimal since the network contains only balanced triangles with all positive links or with two negative links. Such a phase corresponds to dividing the set of agents into two coexisting hostile groups and it exists only in low temperatures.Comment: 7 pages, 6 figures, 1 tabl

Self-organized criticality in a model of collective bank bankruptcies

The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We study effects of one bank failure on the nucleation of contagion phase in a financial market. We recognize the power law distribution of contagion sizes in 3d- and 4d-networks as an indicator of SOC behavior. The SOC dynamics was not detected in 2d-lattices. The difference between 2d- and 3d- or 4d-systems is explained due to the percolation theory.Comment: For Int. J. Mod. Phys. C 13, No. 3, six pages including four figure

Model of communities isolation at hierarchical modular networks

The model of community isolation was extended to the case when individuals are randomly placed at nodes of hierarchical modular networks. It was shown that the average number of blocked nodes (individuals) increases in time as a power function, with the exponent depending on network parameters. The distribution of time when the first isolated cluster appears is unimodal, non-gaussian. The developed analytical approach is in a good agreement with the simulation data