Stylized Facts and Their Microscopic Origins: Clustering, Persistence, and Stability in a 2D Ising Framework
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866914211704078336 |
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| author | Benítez, Hernán Ezequiel Dorso, Claudio Oscar |
| author_facet | Benítez, Hernán Ezequiel Dorso, Claudio Oscar |
| contents | The analysis of financial markets using models inspired by statistical physics offers a fruitful approach to understand collective and extreme phenomena [3, 14, 15] In this paper, we present a study based on a 2D Ising network model where each spin represents an agent that interacts only with its immediate neighbors plus a term reated to the mean field [1, 2]. From this simple formulation, we analyze the formation of spin clusters, their temporal persistence, and the morphological evolution of the system as a function of temperature [5, 19]. Furthermore, we introduce the study of the quantity $1/2P\sum_{i}|S_{i}(t)+S_{i}(t+Δt)|$, which measures the absolute overlap between consecutive configurations and quantifies the degree of instantaneous correlation between system states. The results show that both the morphology and persistence of the clusters and the dynamics of the absolute sum can explain universal statistical properties observed in financial markets, known as stylized facts [2, 12, 18]: sharp peaks in returns, distributions with heavy tails, and zero autocorrelation. The critical structure of clusters and their reorganization over time thus provide a microscopic mechanism that gives rise to the intermittency and clustered volatility observed in prices [2, 15]. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_17925 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Stylized Facts and Their Microscopic Origins: Clustering, Persistence, and Stability in a 2D Ising Framework Benítez, Hernán Ezequiel Dorso, Claudio Oscar Statistical Finance Adaptation and Self-Organizing Systems Physics and Society The analysis of financial markets using models inspired by statistical physics offers a fruitful approach to understand collective and extreme phenomena [3, 14, 15] In this paper, we present a study based on a 2D Ising network model where each spin represents an agent that interacts only with its immediate neighbors plus a term reated to the mean field [1, 2]. From this simple formulation, we analyze the formation of spin clusters, their temporal persistence, and the morphological evolution of the system as a function of temperature [5, 19]. Furthermore, we introduce the study of the quantity $1/2P\sum_{i}|S_{i}(t)+S_{i}(t+Δt)|$, which measures the absolute overlap between consecutive configurations and quantifies the degree of instantaneous correlation between system states. The results show that both the morphology and persistence of the clusters and the dynamics of the absolute sum can explain universal statistical properties observed in financial markets, known as stylized facts [2, 12, 18]: sharp peaks in returns, distributions with heavy tails, and zero autocorrelation. The critical structure of clusters and their reorganization over time thus provide a microscopic mechanism that gives rise to the intermittency and clustered volatility observed in prices [2, 15]. |
| title | Stylized Facts and Their Microscopic Origins: Clustering, Persistence, and Stability in a 2D Ising Framework |
| topic | Statistical Finance Adaptation and Self-Organizing Systems Physics and Society |
| url | https://arxiv.org/abs/2512.17925 |