| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0507283 |
| utime |
20240103222354.7 |
| mtime |
20190806235959.9 |
| WOS |
000385239500080 |
| title
(primary) (eng) |
Capital market efficiency in the Ising model environment: Local and global effects |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0462920 |
| ISBN |
978-80-7494-296-9 |
| title
|
Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016 |
| page_num |
465-470 |
| publisher |
| place |
Liberec |
| name |
Technical University |
| year |
2016 |
|
| editor |
|
|
| 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 |
| 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 |
|
| 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) |
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. |
| action |
| ARLID |
cav_un_auth*0333702 |
| name |
MME 2016. International Conference Mathematical Methods in Economics /34./ |
| dates |
06.09.2016-09.09.2016 |
| place |
Liberec |
| country |
CZ |
|
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2020 |
| num_of_auth |
2 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0298751 |
| confidential |
S |
| mrcbC86 |
n.a. Proceedings Paper Economics|Social Sciences Mathematical Methods |
| arlyear |
2016 |
| mrcbU14 |
SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000385239500080 WOS |
| mrcbU63 |
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 |
| mrcbU67 |
340 Kocourek A. |
| mrcbU67 |
340 Vavroušek M. |
|