Transmission of Information and Herd Behavior: An Application to Financial Markets
We propose a model for stochastic formation of opinion clusters, modeled by an evolving network, and herd behavior to account for the observed fat-tail distribution in returns of financial-price data. The only parameter of the model is h, the rate of information dispersion per trade, which is a meas...
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| Formato: | Capítulo de libro |
| Lenguaje: | Inglés |
| Publicado: |
2000
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| Acceso en línea: | Registro en Scopus DOI Handle Registro en la Biblioteca Digital |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
| LEADER | 04402caa a22006497a 4500 | ||
|---|---|---|---|
| 001 | PAPER-2201 | ||
| 003 | AR-BaUEN | ||
| 005 | 20230518203135.0 | ||
| 008 | 190411s2000 xx ||||fo|||| 00| 0 eng|d | ||
| 024 | 7 | |2 scopus |a 2-s2.0-0041906248 | |
| 040 | |a Scopus |b spa |c AR-BaUEN |d AR-BaUEN | ||
| 100 | 1 | |a Eguíluz, V.M. | |
| 245 | 1 | 0 | |a Transmission of Information and Herd Behavior: An Application to Financial Markets |
| 260 | |c 2000 | ||
| 270 | 1 | 0 | |m Eguíluz, V.M.; Instituto Mediterráneo de Estudios Avanzados IMEDEA, CSIC-UIB, Palma de Mallorca, E-07071, Spain |
| 506 | |2 openaire |e Política editorial | ||
| 504 | |a Moss De Oliveira, S., De Oliveira, P.M.C., Stauffer, D., (1999) Evolution, Money, War and Computers, , Teubner, Stuttgart-Leipzig | ||
| 504 | |a Mantegna, R.N., Stanley, E., (1999) An Introduction to Econophysics: Correlations and Complexity in Finance, , Cambridge University Press, Cambridge, England | ||
| 504 | |a Bouchaud, J.P., Potters, M., (2000) Theory of Financial Risk, , Cambridge University Press, Cambridge, England | ||
| 504 | |a Lux, T., Marchesi, M., (1999) Nature (London), 397, p. 498 | ||
| 504 | |a Mantegna, R.N., Stanley, E., (1995) Nature (London), 376, p. 46 | ||
| 504 | |a Lux, T., (1996) Appl. Financial Economics, 6, p. 463 | ||
| 504 | |a Gopikrishnan, P., Plerou, V., Nunes Amaral, L.A., Meyer, M., Stanley, H.E., (1999) Phys. Rev. E, 60, p. 5305 | ||
| 504 | |a Plerou, V., Gopikrishnan, P., Nunes Amaral, L.A., Meyer, M., Stanley, H.E., (1999) Phys. Rev. E, 60, p. 6519. , references therein | ||
| 504 | |a Bak, P., Paczuski, M., Shubik, M., (1997) Physica (Amsterdam), 246A, p. 430 | ||
| 504 | |a Topol, R., (1991) Econ. J, 101, p. 768 | ||
| 504 | |a Bannerjee, A., (1993) Rev. Econ. Studies, 60, p. 309 | ||
| 504 | |a Cont, R., Bouchaud, J.P., (2000) Macroeconomic Dyn, 4, p. 170 | ||
| 504 | |a Farmer, J.D., e-print; Zhang, Y.-C., (1998) Physica (Amsterdam), 269A, p. 30 | ||
| 504 | |a Corral, A., Pérez, C.J., Díaz-Guilera, A., (1997) Phys. Rev. Lett, 78, p. 1492 | ||
| 504 | |a D'hulst, R., Rodgers, G.J., e-print, e-print; Stauffer, D., Sornette, D., (1999) Physica (Amsterdam), 271A, p. 496 | ||
| 520 | 3 | |a We propose a model for stochastic formation of opinion clusters, modeled by an evolving network, and herd behavior to account for the observed fat-tail distribution in returns of financial-price data. The only parameter of the model is h, the rate of information dispersion per trade, which is a measure of herding behavior. For h below a critical h* the system displays a power-law distribution of the returns with exponential cutoff. However, for h>h* an increase in the probability of large returns is found and may be associated with the occurrence of large crashes. © 2000 The American Physical Society. |l eng | |
| 593 | |a Instituto Mediterráneo de Estudios Avanzados IMEDEA, CSIC-UIB, Palma de Mallorca, E-07071, Spain | ||
| 593 | |a Center for Chaos and Turbulence Studies, The Niels Bohr Institute, Blegdamsvej 17, Copenhagen, DK-2100, Denmark | ||
| 593 | |a Departamento de Física, Facultad Ciencias Exactas y Naturales, Universidad de Buenos Aires, Buenos Aires, Argentina | ||
| 690 | 1 | 0 | |a ARTICLE |
| 690 | 1 | 0 | |a COMMERCE |
| 690 | 1 | 0 | |a COMPUTER SIMULATION |
| 690 | 1 | 0 | |a FINANCE |
| 690 | 1 | 0 | |a INFORMATION ANALYSIS |
| 690 | 1 | 0 | |a MATHEMATICAL MODELS |
| 690 | 1 | 0 | |a PROBABILITY |
| 690 | 1 | 0 | |a FINANCIAL MARKETS |
| 690 | 1 | 0 | |a HERD BEHAVIOR |
| 690 | 1 | 0 | |a INFORMATION BEHAVIOR |
| 690 | 1 | 0 | |a INFORMATION DISPERSION PER TRADE |
| 690 | 1 | 0 | |a MARKETING |
| 700 | 1 | |a Zimmermann, M.G. | |
| 773 | 0 | |d 2000 |g v. 85 |h pp. 5659-5662 |k n. 26 |p Phys Rev Lett |x 00319007 |w (AR-BaUEN)CENRE-386 |t Physical Review Letters | |
| 856 | 4 | 1 | |u https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041906248&doi=10.1103%2fPhysRevLett.85.5659&partnerID=40&md5=b5686ba1d27eb7d85301f8ea3a9601c6 |y Registro en Scopus |
| 856 | 4 | 0 | |u https://doi.org/10.1103/PhysRevLett.85.5659 |y DOI |
| 856 | 4 | 0 | |u https://hdl.handle.net/20.500.12110/paper_00319007_v85_n26_p5659_Eguiluz |y Handle |
| 856 | 4 | 0 | |u https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_00319007_v85_n26_p5659_Eguiluz |y Registro en la Biblioteca Digital |
| 961 | |a paper_00319007_v85_n26_p5659_Eguiluz |b paper |c PE | ||
| 962 | |a info:eu-repo/semantics/article |a info:ar-repo/semantics/artículo |b info:eu-repo/semantics/publishedVersion | ||
| 963 | |a VARI | ||
| 999 | |c 63154 | ||