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arXiv · 1503.03986

Measuring switching processes in financial markets with the Mean-Variance spin glass approach

Jan Jurczyk
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Abstract

In this article we use the Mean-Variance Model in order to measure the current market state. In our study we take the approach of detecting the overall alignment of portfolios in the spin picture. The projection to the ground-states enables us to use physical observables in order to describe the current state of the explored market. The defined magnetization of portfolios shows cursor effects, which we use to detect turmoils.

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Jan Jurczyk. 2015-03-13. Measuring switching processes in financial markets with the Mean-Variance spin glass approach. https://arxiv.org/abs/1503.03986

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