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

• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
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• scientific article; zbMATH DE number 47639 (Why is no real title available?)
• PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS

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(12)

• Estimation of agent-based models: The case of an asymmetric herding model
• Herding, trend chasing and market volatility
• Volatility flocking by Cucker-Smale mechanism in financial markets
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• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL
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