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%2F67985556%3A_____%2F17%3A00474986" target="_blank" >RIV/67985556:_____/17:00474986 - isvavai.cz</a>
Nalezeny alternativní kódy
RIV/00216208:11230/18:10361192 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 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.
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 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.

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
2017
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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