In our new paper, we scanned the parameters of an Ising model of markets to recover realistic regimes. 

• J.M.V. Antenorcruz and R.C. Batac, Efficiency of a self-organizing Ising model of financial markets, International Journal of Modern Physics C, DOI:S012918312450013X (2023). 

In the self-organizing model of financial markets proposed by Zhou and Sornette (Eur. Phys. J. B 2007), we investigated the behavior of the return distributions upon scanning parameters that pertain to imitation tendency, sensitivity to external news, and agent personal idiosyncrasies.  The efficiency is measured from the dispersion of the Hurst exponent, on the assumption of a (multi-)fractal market dynamics. The regimes that recover the stylized facts of markets (particularly the broad-tailed distributions of returns) are also found to be the most efficient. Benchmarking with realistic market efficiencies may bridge the gap between model and data. 

Jude Antenorcruz is a doctoral student of the Complex Systems Group. His work involves numerical and data-based investigations of financial markets and other systems in econophysics using the tools of complex systems science. Dr. Rene Batac has worked on complex dynamics of human interactions from a modeling and network perspective.