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Herd Behaviors in Financial Markets TeX

by: Kyungsik Kim, Seong-Min Yoon, J. S. Choi, Hideki Takayasu
(9 May 2004)

X Abstract

We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) ∼eq R^-β$ with the exponents $ β=3.11$(the time interval $τ=$ one minute) and 3.36($τ=$ one day). The informational cascade regime appears in the herding parameter $H≥ 2.33$ at $τ=$ one minute, while it occurs no herding at $τ=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $Δ t=1$ day.

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arXiv (abstract), arXiv (PDF)

This article has been bookmarked 3 times, initially on 2004-11-15.

2007-07-16 User kevinqian
2004-11-15 User nettraq
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