Capital market efficiency in the Ising model environment: Local and global effects

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00507283" target="_blank" >RIV/67985556:_____/16:00507283 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/16:10328278
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Capital market efficiency in the Ising model environment: Local and global effects
Original language description
Financial Ising model is one of the simplest agent-based models (building on a parallel between capital markets and the Ising model of ferromag- netism) mimicking the most important stylized facts of financial returns such as no serial correlation, fat tails, volatility clustering and volatility persistence on the verge of non-stationarity. We present results of Monte Carlo simulation study investigating the relationship between parameters of the model (related to herding and minority game behaviors) and crucial characteristics of capital market e ciency (with respect to the e cient market hypothesis). We find a strongly non-linear relationship between these which opens possibilities for further research. Specifically, the existence of both herding and minority game behavior of market participants are necessary for attaining the e cient market in the sense of the e cient market hypothesis.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
465-470
Publisher name
Technical University
Place of publication
Liberec
Event location
Liberec
Event date
Sep 6, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000385239500080

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