کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5011367 1462591 2018 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Herding, minority game, market clearing and efficient markets in a simple spin model framework
ترجمه فارسی عنوان
گله، بازی اقلیت، پاکسازی بازار و بازارهای کارآمد در یک چارچوب مدل ساده چرخش
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مهندسی مکانیک
چکیده انگلیسی


- Relationship between capital market efficiency and Ising model setting is studied.
- To a certain level, market frictions and herding behavior do not go against market efficiency.
- On the contrary, these are needed for markets to be efficient.

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 utility 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Communications in Nonlinear Science and Numerical Simulation - Volume 54, January 2018, Pages 148-155
نویسندگان
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