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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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  • Ryuichi Yamamoto, 2011. "Volatility clustering and herding agents: does it matter what they observe?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 41-59, May.
  • Handle: RePEc:spr:jeicoo:v:6:y:2011:i:1:p:41-59 DOI: 10.1007/s11403-010-0075-5
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    References listed on IDEAS

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    4. 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;EDP Sciences, vol. 73(1), pages 51-57, January.
    5. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    6. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
    7. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    8. Routledge, Bryan R, 1999. "Adaptive Learning in Financial Markets," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1165-1202.
    9. 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.
    10. Gaunersdorfer, A. & Hommes, C.H., 2000. "A Nonlinear Structural Model for Volatility Clustering," CeNDEF Working Papers 00-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    11. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
    12. 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.
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    More about this item

    Keywords

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

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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