Herding, minority game, market clearing and efficient markets in a simple spin model framework

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10361192" target="_blank" >RIV/00216208:11230/18:10361192 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/17:00474986 RIV/67985556:_____/18:00507282

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Herding, minority game, market clearing and efficient markets in a simple spin model framework

Popis výsledku v původním jazyce

We present a novel approach towards the financial Ising model. Most studies utilize the model to find settings which generate returns closely mimicking the financial stylized facts such as fat tails, volatility clustering and persistence, and others. We tackle the model utility from the other side and look for the combination of parameters which yields return dynamics of the efficient market in the view of the efficient market hypothesis. Working with the Ising model, we are able to present nicely interpretable results as the model is based on only two parameters. Apart from showing the results of our simulation study, we offer a new interpretation of the Ising model parameters via inverse temperature and entropy. 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. (C) 2017 Elsevier B.V. All rights reserved.

Název v anglickém jazyce

Herding, minority game, market clearing and efficient markets in a simple spin model framework

Popis výsledku anglicky

We present a novel approach towards the financial Ising model. Most studies utilize the model to find settings which generate returns closely mimicking the financial stylized facts such as fat tails, volatility clustering and persistence, and others. We tackle the model utility from the other side and look for the combination of parameters which yields return dynamics of the efficient market in the view of the efficient market hypothesis. Working with the Ising model, we are able to present nicely interpretable results as the model is based on only two parameters. Apart from showing the results of our simulation study, we offer a new interpretation of the Ising model parameters via inverse temperature and entropy. 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. (C) 2017 Elsevier B.V. All rights reserved.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

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

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Communications in Nonlinear Science and Numerical Simulation

ISSN

1007-5704

e-ISSN

—

Svazek periodika

54

Číslo periodika v rámci svazku

January

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

8

Strana od-do

148-155

Kód UT WoS článku

000405496000012

EID výsledku v databázi Scopus

2-s2.0-85020054308