Work detail

Testing the Effects of Parameter Changes in the Bornholdt´s Model

Author: Mgr. Štěpán Chrz
Year: 2014 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Work type: Finance, Financial Markets and Banking
Language: English
Pages: 124
Awards and prizes: M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good masters diploma thesis.
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.


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Patria Finance