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.
Inverse Ising inference using all the data
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abstract
We show that a method based on logistic regression, using all the data, solves the inverse Ising problem far better than mean-field calculations relying only on sample pairwise correlation functions, while still computationally feasible for hundreds of nodes. The largest improvement in reconstruction occurs for strong interactions. Using two examples, a diluted Sherrington-Kirkpatrick model and a two-dimensional lattice, we also show that interaction topologies can be recovered from few samples with good accuracy and that the use of $l_1$-regularization is beneficial in this process, pushing inference abilities further into low-temperature regimes.
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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.