Efficiency of a self-organizing Ising model of financial markets
Individual agents in financial markets decide based on market conditions, external news and information, and personal idiosyncrasies; from the collective action of such agents arise the unpredictable market dynamics. These actions affect the overall efficiency of the market, which measures how well...
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oai:animorepository.dlsu.edu.ph:faculty_research-133022023-11-08T01:10:25Z Efficiency of a self-organizing Ising model of financial markets Antenorcruz, Jude Maria V. Batac, Rene C. Individual agents in financial markets decide based on market conditions, external news and information, and personal idiosyncrasies; from the collective action of such agents arise the unpredictable market dynamics. These actions affect the overall efficiency of the market, which measures how well the price reflects the available incoming information. Here, we implement the self-organizing Ising model of Zhou and Sornette (2017) to probe the efficiency of simulated financial markets under various conditions. Efficiency is parametrized by the dispersion of the generalized Hurst exponents obtained from multifractal detrended fluctuation analysis. Scanning different model parameters sets reveal the regimes of highest efficiency in simulated markets. 2023-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/faculty_research/11241 Faculty Research Work Animo Repository Financial institutions Time-series analysis Ising model Multifractals Finance and Financial Management |
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Financial institutions Time-series analysis Ising model Multifractals Finance and Financial Management |
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Financial institutions Time-series analysis Ising model Multifractals Finance and Financial Management Antenorcruz, Jude Maria V. Batac, Rene C. Efficiency of a self-organizing Ising model of financial markets |
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Individual agents in financial markets decide based on market conditions, external news and information, and personal idiosyncrasies; from the collective action of such agents arise the unpredictable market dynamics. These actions affect the overall efficiency of the market, which measures how well the price reflects the available incoming information. Here, we implement the self-organizing Ising model of Zhou and Sornette (2017) to probe the efficiency of simulated financial markets under various conditions. Efficiency is parametrized by the dispersion of the generalized Hurst exponents obtained from multifractal detrended fluctuation analysis. Scanning different model parameters sets reveal the regimes of highest efficiency in simulated markets. |
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text |
author |
Antenorcruz, Jude Maria V. Batac, Rene C. |
author_facet |
Antenorcruz, Jude Maria V. Batac, Rene C. |
author_sort |
Antenorcruz, Jude Maria V. |
title |
Efficiency of a self-organizing Ising model of financial markets |
title_short |
Efficiency of a self-organizing Ising model of financial markets |
title_full |
Efficiency of a self-organizing Ising model of financial markets |
title_fullStr |
Efficiency of a self-organizing Ising model of financial markets |
title_full_unstemmed |
Efficiency of a self-organizing Ising model of financial markets |
title_sort |
efficiency of a self-organizing ising model of financial markets |
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Animo Repository |
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2023 |
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https://animorepository.dlsu.edu.ph/faculty_research/11241 |
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