Volatility cluster and herding

DOI10.1016/S0378-4371(02)01810-1zbMATH Open1017.91027arXivcond-mat/0207280MaRDI QIDQ1867949FDOQ1867949

Authors: Friedrich Wagner 

Publication date: 23 April 2003

Published in: Physica A (Search for Journal in Brave)

Abstract: Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with several mechanisms and consequently many parameters as the Lux-Marchesi model have been used. We show that a simple herding model with only four parameters leads to a quantitative description of the data. As a new type of data we describe the volatility cluster by the waiting time distribution, which can be used successfully to distinguish between different models.

Full work available at URL: https://arxiv.org/abs/cond-mat/0207280

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zbMATH Keywords

stock marketswaiting time distribution

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
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• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
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Cited In (12)

• Herding, trend chasing and market volatility
• Volatility clustering in financial markets: empirical facts and agent-based models
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• Financial power laws: empirical evidence, models, and mechanisms
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• Estimation of agent-based models: The case of an asymmetric herding model
• Volatility flocking by Cucker-Smale mechanism in financial markets
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL

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