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

0507283 - ÚTIA 2020 RIV CZ eng C - Conference Paper (international conference)
Krištoufek, Ladislav - Vošvrda, Miloslav
Capital market efficiency in the Ising model environment: Local and global effects.
Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016. Liberec: Technical University, 2016 - (Kocourek, A.; Vavroušek, M.), s. 465-470. ISBN 978-80-7494-296-9.
[MME 2016. International Conference Mathematical Methods in Economics /34./. Liberec (CZ), 06.09.2016-09.09.2016]
R&D Projects: GA ČR(CZ) GBP402/12/G097
EU Projects: European Commission(XE) 612955 - FINMAP
Institutional support: RVO:67985556
Keywords : Ising model * efficient market hypothesis * Monte Carlo simulation
OECD category: Applied Economics, Econometrics
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507283.pdf

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.
Permanent Link: http://hdl.handle.net/11104/0298751