0474986 20240103225841.220170605235959.9 85020054308 000405496000012 10.1016/j.cnsns.2017.05.025 8 s. P cav_un_epca*03149331007-5704541 (2018)148-155Elsevier Ising model Efficient market hypothesis Monte Carlo simulation cav_un_auth*0256902 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Krištoufek Ladislav UTIA-B CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101230 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Vošvrda Miloslav UTIA-B S Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2017/E/kristoufek-0474986.pdf cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ cav_un_auth*0346832 612955 EC XE 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. AH 50000 50200 50202 2018 2 RVO:67985556 http://hdl.handle.net/11104/0272091 cav_un_auth*0346833 Fakulta sociálních věd Univerzity Karlovy FSV UK CZ S 3+4 Article Mathematics Applied|Mathematics Interdisciplinary Applications|Mechanics|Physics Fluids Plasmas|Physics Mathematical PHYSICS.FLUIDS&PLASMAS|MECHANICS|MATHEMATICS.INTERDISCIPLINARYAPPLICATIONS|MATHEMATICS.APPLIED|PHYSICS.MATHEMATICAL 3.637 1.721 5.3 0.01948 0.885 11888 1.326 3.695 340 Q1 75.72 95 Q1 Q1 2.08 Q1 99.091 2018 85020054308 SCOPUS PUBMED 000405496000012 WOS cav_un_epca*0314933 Communications in Nonlinear Science and Numerical Simulation 1007-5704 1878-7274 Roč. 54 č. 1 2018 148 155 Elsevier