A Cointegrated Ising Spin Model for Asynchronously Traded Futures Contracts: Spread Trading with Crude Oil Futures

Pairs trading via futures calendar spreads offers a robust market-neutral approach to exploiting transient mispricings, yet real-time implementation is hindered by asynchronous trading. This paper introduces a Cointegrated Ising Spin Model, CISM, for real-time signal generation in high-frequency spread trading. The model links the macro-level equilibrium of cointegration with micro-level agent interactions, representing prices as magnetizations in an agent-based system. A novel Δ-weighted arbitrage force dynamically adjusts agents’ corrective behavior to account for information staleness. Calibrated on tick-by-tick Brent crude oil futures, the model produces a time-varying probability of spread reversion, enabling probabilistic trading decisions. Backtesting demonstrates a 74.65% success rate, confirming the CISM’s ability to generate stable, data-driven arbitrage signals in asynchronous environments. The model bridges macro-level cointegration with micro-level agent interactions, representing prices as magnetizations within an agent-based Ising system. A novel feature is a Δ-weighted arbitrage force, where the corrective pressure applied by agents in response to the standard Error Correction Term is dynamically amplified based on information staleness. The model is calibrated on historical tick data and designed to operate in real time, continuously updating its probability-based trading signals as new quotes arrive. The model is framed within the context of Discrete Choice Theory, treating agent transitions as utility-maximizing decisions within a Vector Logistic Autoregressive (VLAR) framework.

Authors

Institutions

Publication Details

Journal
Journal of risk and financial management
Published
2026-01-19
DOI
https://doi.org/10.3390/jrfm19010079
Primary Topic
Complex Systems and Time Series Analysis
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

A Cointegrated Ising Spin Model for Asynchronously Traded Futures Contracts: Spread Trading with Crude Oil Futures

Kostas Giannopoulos
Journal of risk and financial management
Complex Systems and Time Series Analysis
article

A Cointegrated Ising Spin Model for Asynchronously Traded Futures Contracts: Spread Trading with Crude Oil Futures

Kostas Giannopoulos
article en

Abstract

Pairs trading via futures calendar spreads offers a robust market-neutral approach to exploiting transient mispricings, yet real-time implementation is hindered by asynchronous trading. This paper introduces a Cointegrated Ising Spin Model, CISM, for real-time signal generation in high-frequency spread trading. The model links the macro-level equilibrium of cointegration with micro-level agent interactions, representing prices as magnetizations in an agent-based system. A novel Δ-weighted arbitrage force dynamically adjusts agents’ corrective behavior to account for information staleness. Calibrated on tick-by-tick Brent crude oil futures, the model produces a time-varying probability of spread reversion, enabling probabilistic trading decisions. Backtesting demonstrates a 74.65% success rate, confirming the CISM’s ability to generate stable, data-driven arbitrage signals in asynchronous environments. The model bridges macro-level cointegration with micro-level agent interactions, representing prices as magnetizations within an agent-based Ising system. A novel feature is a Δ-weighted arbitrage force, where the corrective pressure applied by agents in response to the standard Error Correction Term is dynamically amplified based on information staleness. The model is calibrated on historical tick data and designed to operate in real time, continuously updating its probability-based trading signals as new quotes arrive. The model is framed within the context of Discrete Choice Theory, treating agent transitions as utility-maximizing decisions within a Vector Logistic Autoregressive (VLAR) framework.

Journal of risk and financial managementVol. 19(1)
Neapolis University Pafos (CY)
Openalex Percentile: Top 87%
Complex Systems and Time Series Analysis
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.