Volatility cluster and herding

DOI10.1016/S0378-4371(02)01810-1MaRDI QIDQ1867949zbMATH OpenFDO

Authors Friedrich Wagner

Publication date 23 April 2003

Published in Physica A (Search for Journal in Brave)

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

zbMATH Keywords

stock marketswaiting time distribution

Mathematics Subject Classification ID

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

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.

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Cites work

• scientific article; zbMATH DE number 1604683 (Why is no real title available?)
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Cited in

(12)

• Financial power laws: empirical evidence, models, and mechanisms
• Herding, trend chasing and market volatility
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Volatility flocking by Cucker-Smale mechanism in financial markets
• Estimation of agent-based models: The case of an asymmetric herding model
• Volatility clustering in financial markets: empirical facts and agent-based models
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
• scientific article; zbMATH DE number 2067993 (Why is no real title available?)
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL
• Herding behaviour and volatility clustering in financial markets

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