Herding, minority game, market clearing and efficient markets in a simple spin model framework
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00474986" target="_blank" >RIV/67985556:_____/17:00474986 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/18:10361192 RIV/67985556:_____/18:00507282
Result on the web
<a href="http://dx.doi.org/10.1016/j.cnsns.2017.05.025" target="_blank" >http://dx.doi.org/10.1016/j.cnsns.2017.05.025</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.cnsns.2017.05.025" target="_blank" >10.1016/j.cnsns.2017.05.025</a>
Alternative languages
Result language
angličtina
Original language name
Herding, minority game, market clearing and efficient markets in a simple spin model framework
Original language description
We present a novel approach towards the financial Ising model. Most studies utilize the model to find settings which generate closely mimicking the financial stylized facts such a fat tails, volatility clustering and persistence, and others. Working with the Ising model, we are able to present nicely interpretable results as the model is based on only two parameters. We show that in fact market frictions (to a certain level) and herding behavior of the market participants do not go against market efficiency but what is more, they are needed for the markets to be efficient.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Communications in Nonlinear Science and Numerical Simulation
ISSN
1007-5704
e-ISSN
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Volume of the periodical
54
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
8
Pages from-to
148-155
UT code for WoS article
000405496000012
EID of the result in the Scopus database
2-s2.0-85020054308