0507283 20240103222354.720190806235959.9 000385239500080 6 s. P cav_un_epca*0462920978-80-7494-296-9465-470LiberecTechnical University2016KocourekA. 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 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 Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507283.pdf cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ cav_un_auth*0308905 612955 EC XE 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. cav_un_auth*0333702 MME 2016. International Conference Mathematical Methods in Economics /34./ 06.09.2016-09.09.2016 Liberec CZ AH 50000 50200 50202 2020 2 PR RVO:67985556 http://hdl.handle.net/11104/0298751 S n.a. Proceedings Paper Economics|Social Sciences Mathematical Methods 2016 SCOPUS PUBMED 000385239500080 WOS cav_un_epca*0462920 Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016 978-80-7494-296-9 465 470 Liberec Technical University 2016 340 Kocourek A. 340 Vavroušek M.