Static and kinetic Ising models fitted to S&P 500 binary returns reveal sectorally organized pairwise interactions (within-sector couplings ~2.8x between-sector) and time-varying field regimes around the dot-com bust, GFC, and COVID.
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model.Scientific Reports, 12(1):19339, November 2022
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A Statistical Physics View of the S&P 500: Pairwise Interactions and Time-Varying Dynamics
Static and kinetic Ising models fitted to S&P 500 binary returns reveal sectorally organized pairwise interactions (within-sector couplings ~2.8x between-sector) and time-varying field regimes around the dot-com bust, GFC, and COVID.