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Volatility clustering and herding agents: does it matter what they observe?

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  • Ryuichi Yamamoto

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File URL: http://hdl.handle.net/10.1007/s11403-010-0075-5
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Bibliographic Info

Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

Volume (Year): 6 (2011)
Issue (Month): 1 (May)
Pages: 41-59

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Handle: RePEc:spr:jeicoo:v:6:y:2011:i:1:p:41-59

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Web page: http://www.springer.com/economics/economic+theory/journal/11403

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Related research

Keywords: Agent-based; Learning; Volatility clustering; Herding; G12; G14; D83;

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References

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  1. repec:att:wimass:9621 is not listed on IDEAS
  2. LeBaron, Blake & Yamamoto, Ryuichi, 2007. "Long-memory in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 85-89.
  3. Jose Apesteguia & Steffen Huck & Jörg Oechssler, 2005. "Imitation - Theory and Experimental Evidence -," Working Papers 0419, University of Heidelberg, Department of Economics, revised Apr 2005.
  4. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
  5. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
  6. Brenner, Thomas, 2006. "Agent Learning Representation: Advice on Modelling Economic Learning," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 18, pages 895-947 Elsevier.
  7. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  8. Lux, T. & M. Marchesi, . "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
  9. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 7-42, February.
  10. Tesfatsion, Leigh & Judd, Kenneth L., 2006. "Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics," Staff General Research Papers 10368, Iowa State University, Department of Economics.
  11. Pingle, Mark & Day, Richard H., 1996. "Modes of economizing behavior: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 29(2), pages 191-209, March.
  12. Simon, Herbert A, 1979. "Rational Decision Making in Business Organizations," American Economic Review, American Economic Association, vol. 69(4), pages 493-513, September.
  13. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
  14. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  15. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  16. Gaunersdorfer, A. & Hommes, C.H., 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  17. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  18. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan, vol. 34(4), pages 504-517.
  19. Taisei Kaizoji & Stefan Bornholdt & Yoshi Fujiwara, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Papers cond-mat/0207253, arXiv.org.
  20. Offerman, Theo & Sonnemans, Joep, 1998. "Learning by experience and learning by imitating successful others," Journal of Economic Behavior & Organization, Elsevier, vol. 34(4), pages 559-575, March.
  21. Routledge, Bryan R, 1999. "Adaptive Learning in Financial Markets," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1165-1202.
  22. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  23. R. Yamamoto & B. LeBaron, 2010. "Order-splitting and long-memory in an order-driven market," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 73(1), pages 51-57, January.
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