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Herd Behaviors in Financial Markets


Author Info

  • Kyungsik Kim
  • Seong-Min Yoon
  • J. S. Choi
  • Hideki Takayasu


We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \simeq R^{-\beta}$ with the exponents $ \beta=3.11$(the time interval $\tau=$ one minute) and 3.36($\tau=$ one day). The informational cascade regime appears in the herding parameter $H\ge 2.33$ at $\tau=$ one minute, while it occurs no herding at $\tau=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $\Delta t=1$ day.

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Bibliographic Info

Paper provided by in its series Papers with number cond-mat/0405172.

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Date of creation: May 2004
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Publication status: Published in J. Korean Phys. Soc. 44, 647 (2004)
Handle: RePEc:arx:papers:cond-mat/0405172

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Cited by:
  1. Bertrand M. Roehner, 2004. "Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock," Papers cond-mat/0406704,


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