The roles of mean residence time on herd behavior in a financial market

DOI10.1016/J.PHYSA.2016.06.061zbMATH Open1400.91383OpenAlexW2420010861WikidataQ57535657 ScholiaQ57535657MaRDI QIDQ1619886FDOQ1619886

Authors Jiang-Cheng Li, Yun-Xian Li, Dong-Cheng Mei, N. S. Tang

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2016.06.061

zbMATH Keywords

econophysicsherd behaviorfinancial marketHeston modelmean residence time

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
• Delays-based protein switches in a stochastic single-gene network
• Elements for a theory of financial risks
• Generalized autoregressive conditional heteroscedasticity
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Introduction to Econophysics
• Price dynamics, financial fragility and aggregate volatility
• Probability Distribution of the Residence Times in Periodically Fluctuating Metastable Systems
• Probability distribution of returns in the Heston model with stochastic volatility
• Role of noise in a market model with stochastic volatility
• The risks and returns of stock investment in a financial market
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS

Cited in

(4)

• Financial interpretation of herd behavior index and its statistical estimation
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• The time delay restraining the herd behavior with Bayesian approach
• Dynamic behaviors and measurements of financial market crash rate

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