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On bubbling dynamics generated by a stochastic model of herd behavior

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Author Info
Enrico Zaninotto (Dipartimento di Informatica e Studi Aziendali, Universit, di Trento, Via Inama 4, 38100 Trento, Italy)
Yuri M. Kaniovski () (School of Economics, Free University of Bozen-Bolzano, Via Sernesi 1, 39100 Bolzano, Italy)
Loris Gaio (Dipartimento di Informatica e Studi Aziendali, Universit, di Trento, Via Inama 4, 38100 Trento, Italy)

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Abstract

This paper suggests a class of stochastic collective learning processes exhibiting very irregular behavior. In particular, there are multimodal long run distributions. Some of these modes may vanish as the population size increases. This may be thought of as "bubbles" persistent for a finite range of population sizes but disappearing in the limit. The limit distribution proves to be a discontinuous function of parameters determining the learning process. This gives rise to another type of "bubbles": limit outcomes corresponding to small perturbations of parameters are different. Since an agent's decision rule involves imitation of the majority choice in a random sample of other members of the population, the resulting collective dynamics exhibit "herding" or "epidemic" features.

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Publisher Info
Article provided by Springer in its journal Journal of Evolutionary Economics.

Volume (Year): 12 (2002)
Issue (Month): 5 ()
Pages: 525-538
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Handle: RePEc:spr:joevec:v:12:y:2002:i:5:p:525-538

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Related research
Keywords: Herd behavior - Markov chain - Bubbling dynamics;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Enrico Zaninotto, 1997. "Comitati volontari e standard de-iure," Quaderni DISA 003, Department of Computer and Management Sciences, University of Trento, Italy.
  2. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  3. Gianni Degasperi, 1999. "La dinamica delle crisi finanziarie: i modelli di Minsky e Kindleberger," Alea Tech Reports 005, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  4. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  5. Mariangela Franch, 1998. "La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni," Quaderni DISA 010, Department of Computer and Management Sciences, University of Trento, Italy.
  6. Umberto Martini, 1998. "Il consorzio di operatori come organo di meta-management di una località turistica," Quaderni DISA 009, Department of Computer and Management Sciences, University of Trento, Italy.
  7. V. Brichetti & Mariangela Franch & Luisa Mich, 1998. "Progetto Disaweb: analisi delle esigenze informative su DISA," Quaderni DISA 012, Department of Computer and Management Sciences, University of Trento, Italy.
  8. Marco Filagrana, 2000. "Le obbligazioni strutturate nel mercato italiano: principali tipologie e problematiche di valutazione e di rischio," Alea Tech Reports 009, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  9. Marco Bee, 2001. "Mixture models for VaR and stress testing," Alea Tech Reports 012, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  10. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  11. Marco Bee, 2002. "Un modello per l'incorporazione del rischio specifico nel VaR," Alea Tech Reports 013, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  12. Mario Benassi, 1997. "Spin-offs e grandi imprese: il caso Herox," Quaderni DISA 005, Department of Computer and Management Sciences, University of Trento, Italy.
  13. Franco Molinari, 1998. "Arbitrage risk neutral probability measures," Quaderni DISA 008, Department of Computer and Management Sciences, University of Trento, Italy.
  14. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Mark Bowden & Stuart McDonald, 2008. "The Impact of Interaction and Social Learning on Aggregate Expectations," Computational Economics, Springer, vol. 31(3), pages 289-306, April. [Downloadable!] (restricted)
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