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Financial Analytics: Science and Experience
 

Spin glass as a method of presenting price fluctuations in financial markets

Vol. 8, Iss. 5, FEBRUARY 2015

Available online: 6 February 2015

Subject Heading: ISSUES ON ECONOMICS

JEL Classification: 

Pages: 21-28

Zabrodina K.O. International Academy of Business and Management, Moscow, Russian Federation
fortyna88@gmail.com

Importance The paper provides a practical toolkit to visualize price changes in financial markets in the form of spin-glass as a model of a special kind of systems.
     Objectives I offer a detailed description of this model in the process of changing prices. Their fluctuations in the financial market are presented in the form of spin glass by evaluating the price differences over a minimum fixed time intervals.
     Methods I used a well-known technology for constructing graph in the form of naughts and crosses (created by Charles Dow, the founder of the well-known Dow-Jones Index) by implementing its modern material in a spreadsheet. The paper describes a source code for the MS Excel spreadsheet in VBA algorithmic language. My approach to the examination of the time series in the financial market, I called as a spin analysis and tried to clarify the benefits of this kind of analytical tool. Spin representation of price movements in the market allows combining in spreadsheet of a synchronous dynamics of price changes of a totality of assets. The arguments in favor of the proposed point of view have been confirmed by the illustrations.
     Results The result is a graph of potential price spin glass. The advantages of spin representation comprise great visual aspects, information value in comparison with the standard price charts and the possibility to combine different data into a single coordinate system.
     Conclusions and Relevance My spin glass concept can be helpful in analytical work for financial market participants. The spin-glass model enables to submit any dynamic data series in a convenient form.

Keywords: financial market, spin glass, price fluctuations, source code

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