https://doi.org/10.1140/epjb/s10051-023-00501-6
Regular Article - Statistical and Nonlinear Physics
Financial price dynamics and phase transitions in the stock markets
School of Economics and Management, Southeast University, 211189, Nanjing, Jiangsu, China
Received:
14
March
2022
Accepted:
20
February
2023
Published online:
22
March
2023
Price dynamics in stock market is modelled by a statistical physics systems: Ising model. A comparative analysis of the historical dynamics of stock returns between the US, UK, and French markets is given. Since the Ising model requires binary inputs, the effect of binarization is studied. Then, using the TAP approximation method, external fields and coupling strengths are calculated. The fluctuation cycles of coupling strengths have a remarkable corresponding relationship with the important period of the financial market. The highlight of this paper is to verify the phase transition can also occur in the stock market and it reveals the transformation of the market state. The numerical solution in this paper is consistent with the exact solution obtained by Lars Onsager. Our findings can help to discover the economic cycles and provide more possibilities for studying financial markets using physical models.
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