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log

n

+1 1 i= 1, 2, . . . , n

Yi

i

i(t + 1) =

1 if Yi(t) i(t),

0 if i(t)< Yi(t)< i(t),

1 if Yi(t) i(t),

i(t)

Yi(t)

Yi(t) =4

j=1

Jij(t) + i(t),

Jij j i i(t)

i(t)

i(0) N(0, 1)

i(t + 1)

i(t) =

P(t)

P(t 1), t 0,

P(t)

t

P(t < 0)

S(t)

D(t)

mailto:j.lipski@student.uw.edu.plhttp://dx.doi.org/10.12693/APhysPolA.123.584

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P(t + 1)

P(t) =

D(t)

S(t)

(t),

(t) =D(t) + S(t)

n

(t)

min(D(t), S(t))

r t t

P(t) P(t t)

r(t t) = ln

P(t)

P(t t)

, t t.

j i

Jij(t) =Wij+t1

=t

j() ln

P(t 1)

P()

,

2.

Jij(t = 0)

i, j

p

1 p

Wij j

i

a (>1) b (

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i(t = 1)

i(t = 2)

t

R

t

t = 1, . . . , L

m (=K + k)

R =t ent(t/m)m < Ent(x) x K

k

k

m

t K

R

a (> 1)

b(

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A

B

= 1

t

C() = r(t)r(t ) r2

Var(r) ,

t

. . .

Var(r)

t

A B

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R() , >0.

(WIG) = 0.546 (S&P 500) = 0.541 (A) = 0.576 (B) = 0.503 A

B

= 1 (= 1) = 0.504 A

B

= 1

Yi i

http://www.stooq.pl/http://dx.doi.org/10.1038/460685ahttp://dx.doi.org/10.12693/APhysPolA.123.513http://dx.doi.org/10.12693/APhysPolA.123.513http://dx.doi.org/10.1140/epjb/e2006-00391-6http://dx.doi.org/10.1140/epjb/e2006-00391-6http://dx.doi.org/10.1016/S0167-2681(01)00164-0