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

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F16%3A10328278" target="_blank" >RIV/00216208:11230/16:10328278 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/16:00507283

Výsledek na webu

<a href="http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf" target="_blank" >http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

Financial Ising model is one of the simplest agent-based models (building on a parallel between capital markets and the Ising model of ferromagnetism) 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 efficiency (with respect to the efficient 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 efficient market in the sense of the efficient market hypothesis.

Název v anglickém jazyce

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

Popis výsledku anglicky

Financial Ising model is one of the simplest agent-based models (building on a parallel between capital markets and the Ising model of ferromagnetism) 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 efficiency (with respect to the efficient 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 efficient market in the sense of the efficient market hypothesis.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

465-470

Název nakladatele

Technical University Liberec

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

6. 9. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000385239500080