Original title: Capital market efficiency in the Ising model environment: Local and global effects
Authors: Krištoufek, Ladislav ; Vošvrda, Miloslav
Document type: Papers
Conference/Event: MME 2016. International Conference Mathematical Methods in Economics /34./, Liberec (CZ), 2016-09-06 / 2016-09-09
Year: 2016
Language: eng
Abstract: 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.
Keywords: efficient market hypothesis; Ising model; Monte Carlo simulation
Project no.: GBP402/12/G097 (CEP), 612955
Funding provider: GA ČR
Host item entry: Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, ISBN 978-80-7494-296-9

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507283.pdf
Original record: http://hdl.handle.net/11104/0298751

Permalink: http://www.nusl.cz/ntk/nusl-399077


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