IDEAS home Printed from https://ideas.repec.org/r/sfi/sfiwpa/500028.html
   My bibliography  Save this item

Herd behavior and aggregate fluctuations in financial markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Westerhoff, Frank H. & Dieci, Roberto, 2006. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
  2. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge.
  3. Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
  4. Paolo Dai Pra & Fulvio Fontini & Elena Sartori & Marco Tolotti, 2011. "Endogenous equilibria in liquid markets with frictions and boundedly rational agents," Working Papers 7, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
  5. Marco Raberto & Silvano Cincotti & Sergio Focardi & Michele Marchesi, 2003. "Traders' Long-Run Wealth in an Artificial Financial Market," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 255-272, October.
  6. Denis Phan & Stephane Pajot & Jean-Pierre Nadal, 2003. "The Monopolist's Market with Discrete Choices and Network Externality Revisited: Small-Worlds, Phase Transition and Avalanches in an ACE Framework," Computing in Economics and Finance 2003 150, Society for Computational Economics.
  7. Michel Beine & Agnès Bénassy-Quéré & Hélène Colas, 2003. "Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data," THEMA Working Papers 2003-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  8. B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2010. "Replicating financial market dynamics with a simple self-organized critical lattice model," Papers 1010.4831, arXiv.org.
  9. Lin, William & Tsai, Shih-Chuan & Sun, David, 2009. "What Causes Herding:Information Cascade or Search Cost ?," MPRA Paper 20217, University Library of Munich, Germany, revised 23 Jan 2010.
  10. Liu Ziyin & Kentaro Minami & Kentaro Imajo, 2021. "Theoretically Motivated Data Augmentation and Regularization for Portfolio Construction," Papers 2106.04114, arXiv.org, revised Dec 2022.
  11. A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002. "Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 264-281.
  12. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007. "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers 149, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  13. G. Ehrenstein & F. Westerhoff & D. Stauffer, 2005. "Tobin tax and market depth," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 213-218.
  14. Gudrun Ehrenstein, 2002. "Cont-Bouchaud percolation model including Tobin tax," Papers cond-mat/0205320, arXiv.org.
  15. Shu-Heng Chen & Sai-Ping Li, 2011. "Econophysics: Bridges over a Turbulent Current," Papers 1107.5373, arXiv.org.
  16. Sornette, Didier & Zhou, Wei-Xing, 2006. "Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 704-726.
  17. M.G. Zimmermann, V. M. Eguiluz, 2001. "Evolution of Cooperative Networks and the Emergence of Leadership," Computing in Economics and Finance 2001 171, Society for Computational Economics.
  18. Maslov, Sergei & Mills, Mark, 2001. "Price fluctuations from the order book perspective—empirical facts and a simple model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 234-246.
  19. Demary Markus, 2008. "Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 228-250, April.
  20. Makoto Nirei, 2008. "Self-organized criticality in a herd behavior model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 89-97, June.
  21. Hirshleifer, David & Teoh, Siew Hong, 2008. "Thought and Behavior Contagion in Capital Markets," MPRA Paper 9164, University Library of Munich, Germany.
  22. Michael A. Clemens & Jeffrey G. Williamson, 2000. "Where did British Foreign Capital Go? Fundamentals, Failures and the Lucas Paradox: 1870-1913," NBER Working Papers 8028, National Bureau of Economic Research, Inc.
  23. Arnswald, Torsten, 2001. "Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data," Discussion Paper Series 1: Economic Studies 2001,08, Deutsche Bundesbank.
  24. Steinbacher, Matjaz, 2009. "Knowledge, Preferences and Shocks in Portfolio Analysis," MPRA Paper 13567, University Library of Munich, Germany.
  25. Ioane Muni Toke, 2010. ""Market making" behaviour in an order book model and its impact on the bid-ask spread," Papers 1003.3796, arXiv.org, revised Jun 2010.
  26. R. D. Groot, 2004. "Levy distribution and long correlation times in supermarket sales," Papers cond-mat/0412163, arXiv.org.
  27. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
  28. David Hirshleifer & Siew Hong Teoh, 2003. "Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis," European Financial Management, European Financial Management Association, vol. 9(1), pages 25-66, March.
  29. Hokky Situngkir & Yohanes Surya, 2005. "On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree," Macroeconomics 0505010, University Library of Munich, Germany.
  30. S. Reimann & A. Tupak, 2007. "Prices are macro-observables! Stylized facts from evolutionary finance," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 313-331, May.
  31. Kwangwon Ahn & Hanwool Jang & Jinu Kim & Inug Ryu, 2024. "COVID-19 and REITs Crash: Predictability and Market Conditions," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1159-1172, March.
  32. Oliver Hein & Michael Schwind & Markus Spiwoks, 2008. "Frankfurt Artificial Stock Market: a microscopic stock market model with heterogeneous interacting agents in small-world communication networks," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 59-71, June.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.