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Conference Paper (international conference)

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

Krištoufek Ladislav, Vošvrda Miloslav

: Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, p. 465-470 , Eds: Kocourek A.

: MME 2016. International Conference Mathematical Methods in Economics /34./, (Liberec, CZ, 06.09.2016-09.09.2016)

: GBP402/12/G097, GA ČR, 612955, EC

: Ising model, efficient market hypothesis, Monte Carlo simulation

: http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507283.pdf

(eng): 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.

: AH

: 50202

2019-01-07 08:39