| bibtype |
J -
Journal Article
|
| ARLID |
0507282 |
| utime |
20240103222354.6 |
| mtime |
20190806235959.9 |
| SCOPUS |
85020054308 |
| WOS |
000405496000012 |
| DOI |
10.1016/j.cnsns.2017.05.025 |
| title
(primary) (eng) |
Herding, minority game, market clearing and efficient markets in a simple spin model framework |
| specification |
| page_count |
8 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0314933 |
| ISSN |
1007-5704 |
| title
|
Communications in Nonlinear Science and Numerical Simulation |
| volume_id |
54 |
| volume |
1 (2018) |
| page_num |
148-155 |
| publisher |
|
|
| keyword |
Ising model |
| keyword |
Efficient market hypothesis |
| keyword |
Monte Carlo simulation |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| country |
CZ |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0281000 |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
|
| project |
| ARLID |
cav_un_auth*0308905 |
| project_id |
612955 |
| agency |
EC |
| country |
XE |
|
| abstract
(eng) |
We present a novel approach towards the financial Ising model. Most studies utilize the model to find settings which generate returns closely mimicking the financial stylized facts such as fat tails, volatility clustering and persistence, and others. We tackle the model util- ity from the other side and look for the combination of parameters which yields return dynamics of the efficient market in the view of the efficient market hypothesis. Working with the Ising model, we are able to present nicely interpretable results as the model is based on only two parameters. Apart from showing the results of our simulation study, we offer a new interpretation of the Ising model parameters via inverse temperature and entropy. 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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2020 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0298753 |
| confidential |
S |
| mrcbC86 |
3+4 Article Mathematics Applied|Mathematics Interdisciplinary Applications|Mechanics|Physics Fluids Plasmas|Physics Mathematical |
| mrcbC91 |
C |
| mrcbT16-e |
MATHEMATICSAPPLIED|MATHEMATICSINTERDISCIPLINARYAPPLICATIONS|MECHANICS|PHYSICSFLUIDSPLASMAS|PHYSICSMATHEMATICAL |
| mrcbT16-j |
0.885 |
| mrcbT16-s |
1.326 |
| mrcbT16-B |
75.72 |
| mrcbT16-D |
Q1 |
| mrcbT16-E |
Q1 |
| arlyear |
2018 |
| mrcbU14 |
85020054308 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000405496000012 WOS |
| mrcbU63 |
cav_un_epca*0314933 Communications in Nonlinear Science and Numerical Simulation 1007-5704 1878-7274 Roč. 54 č. 1 2018 148 155 Elsevier |
|