Work detail
Ising model in finance. From microscopic rules to macroscopic phenomena.
| Author: | Bc. Pavel Dvořák |
|---|---|
| Year: | 2012 - summer |
| Leaders: | PhDr. Ladislav Krištoufek |
| Consultants: | |
| Work type: | Bakalářská |
| Language: | English |
| Pages: | 56 |
| Awards and prizes: | Pochvala děkana Fakulty sociálních věd za vynikající bakalářskou práci. |
| Abstract: | The main objective of this thesis is to inspect the abilities of the Ising model to exhibit selected statistical properties, or stylized facts, that are common to a wide range of nancial assets. The investigated properties are heteroskedas- ticity of returns, rapidly decaying linear autocorrelation, volatility clustering, heavy tails, negative skewness and non-Gaussianity of the return distribution. In the first part of the thesis, we test the presence of these stylized facts in S&P 500 daily returns over the last 30 years. The main part of the thesis is dedicated to the Ising model-based simulations and to discussion of the results. New features such as Poisson process governed lag or magnetisation dependent trading activity are incorporated in the model. We conclude that the Ising model is able to convincingly replicate most of the examined statistical prop- erties while even more satisfactory results can be obtained with appropriate tuning. |
| Downloadable: | BP Dvořák |