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Abstract:

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.

Registro:

Documento: Artículo
Título:Transmission of Information and Herd Behavior: An Application to Financial Markets
Autor:Eguíluz, V.M.; Zimmermann, M.G.
Filiación:Instituto Mediterráneo de Estudios Avanzados IMEDEA, CSIC-UIB, Palma de Mallorca, E-07071, Spain
Center for Chaos and Turbulence Studies, The Niels Bohr Institute, Blegdamsvej 17, Copenhagen, DK-2100, Denmark
Departamento de Física, Facultad Ciencias Exactas y Naturales, Universidad de Buenos Aires, Buenos Aires, Argentina
Palabras clave:article; Commerce; Computer simulation; Finance; Information analysis; Mathematical models; Probability; Financial markets; Herd behavior; Information behavior; Information dispersion per trade; Marketing
Año:2000
Volumen:85
Número:26
Página de inicio:5659
Página de fin:5662
DOI: http://dx.doi.org/10.1103/PhysRevLett.85.5659
Título revista:Physical Review Letters
Título revista abreviado:Phys Rev Lett
ISSN:00319007
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_00319007_v85_n26_p5659_Eguiluz

Referencias:

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Citas:

---------- APA ----------
Eguíluz, V.M. & Zimmermann, M.G. (2000) . Transmission of Information and Herd Behavior: An Application to Financial Markets. Physical Review Letters, 85(26), 5659-5662.
http://dx.doi.org/10.1103/PhysRevLett.85.5659
---------- CHICAGO ----------
Eguíluz, V.M., Zimmermann, M.G. "Transmission of Information and Herd Behavior: An Application to Financial Markets" . Physical Review Letters 85, no. 26 (2000) : 5659-5662.
http://dx.doi.org/10.1103/PhysRevLett.85.5659
---------- MLA ----------
Eguíluz, V.M., Zimmermann, M.G. "Transmission of Information and Herd Behavior: An Application to Financial Markets" . Physical Review Letters, vol. 85, no. 26, 2000, pp. 5659-5662.
http://dx.doi.org/10.1103/PhysRevLett.85.5659
---------- VANCOUVER ----------
Eguíluz, V.M., Zimmermann, M.G. Transmission of Information and Herd Behavior: An Application to Financial Markets. Phys Rev Lett. 2000;85(26):5659-5662.
http://dx.doi.org/10.1103/PhysRevLett.85.5659