Herd Behaviors in Financial Markets TeX

@misc{citeulike:489, 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) \simeq R^{-\beta}\$ with the exponents \$ \beta=3.11\$(the time interval \$\tau=\$ one minute) and 3.36(\$\tau=\$ one day). The informational cascade regime appears in the herding parameter \$H\ge 2.33\$ at \$\tau=\$ one minute, while it occurs no herding at \$\tau=\$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step \$\Delta t=1\$ day.}, archivePrefix = {arXiv}, author = {Kim, Kyungsik and Yoon, Seong-Min and Choi, J. S. and Takayasu, Hideki}, citeulike-article-id = {489}, eprint = {cond-mat/0405172}, keywords = {financial-networks, markets, powerlaws}, month = {May}, posted-at = {2004-11-15 16:58:29}, title = {Herd Behaviors in Financial Markets}, url = {http://arxiv.org/abs/cond-mat/0405172}, year = {2004} }

TY - ELEC ID - citeulike:489 L3 - citeulike-article-id:489 N2 - 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 $P(R) \simeq R^{-\beta}$ with the exponents $ \beta=3.11$(the time interval $\tau=$ one minute) and 3.36($\tau=$ one day). The informational cascade regime appears in the herding parameter $H\ge 2.33$ at $\tau=$ one minute, while it occurs no herding at $\tau=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $\Delta t=1$ day. TI - Herd Behaviors in Financial Markets KW - financial-networks KW - markets KW - powerlaws AU - Kim, Kyungsik AU - Yoon, Seong-Min AU - Choi, JS AU - Takayasu, Hideki PY - 2004/05/09/ UR - http://arxiv.org/abs/cond-mat/0405172 ER -