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    Herd Behaviors in Financial Markets

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    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)P(R) of returns RR satisfies the power-law behavior P(R)≃R−βP(R) \simeq R^{-\beta} with the exponents β=3.11 \beta=3.11(the time interval τ=\tau= one minute) and 3.36(τ=\tau= one day). The informational cascade regime appears in the herding parameter H≥2.33H\ge 2.33 at τ=\tau= one minute, while it occurs no herding at τ=\tau= one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step Δt=1\Delta t=1 day.Comment: 15 pages, 6 figure
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