Stochastic modelling of herd behaviour indices

DOI10.1080/14697688.2015.1007075MaRDI QIDQ4683112zbMATH OpenOpenAlexFDO

Authors Florence Guillaume, D. Linders

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/10067/1239120151162165141

zbMATH Keywords

comonotonicityherd behaviour modellingmean-reverting processestime-dependent diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10)

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Cites work

• A framework for robust measurement of implied correlation
• A theory of the term structure of interest rates
• An overview of comonotonicity and its applications in finance and insurance
• FIX: the fear index -- measuring market fear
• Ordered random vectors and equality in distribution
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• Towards a theory of volatility trading
• Upper and lower bounds for sums of random variables

Cited in

(9)

• The roles of mean residence time on herd behavior in a financial market
• The time delay restraining the herd behavior with Bayesian approach
• Herd dynamics age and sex structured model considering management practices and animal movements among districts
• Financial interpretation of herd behavior index and its statistical estimation
• A research of herding by institutional investors based on an extended model of CCK
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• Bayesian analysis of herding behaviour: an application to Spanish equity mutual funds
• Financial models induced from auxiliary indices and Twitter data
• Two experiments to test a model of herd behaviour

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