Work detail

Dissection of Bornholdt's model. Examination of Inner Dynamics and Effect of Parameter Change

Author: PhDr. Štěpán Chrz
Year: 2015 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Work type: Doctoral
Language: English
Pages: 129
Awards and prizes:
Abstract: In this work we thoroughly analyze Bornholdt’s version of Ising model of ferromagnetism,
with emphasis on its ability to mimic some basic stylized facts of
financial series. Initially, we provide a breakdown of model definition and analysis
of underlying dynamics. Subsequently, we examine and confirm model’s
ability to mimic stylized facts of financial series. To examine robustness of this
ability to parameter change, we conduct simulations over a set of parameter
combinations. We conclude that there is a wide set of combinations that yields
acceptable simulation results. We also note that the seemingly best results are
obtained at parameter values close to border of this set.




Patria Finance