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Phase Transition of Dynamical Herd Behaviors in Financial Markets

Listed author(s):
  • Kyungsik Kim
  • Seong-Min Yoon

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $\tau$ = 1 minute), 2.81 (30 minutes), and 2.29 (1 hour). The crash regime in which the probabilty density increases with the increasing return appears in the case of $\tau$ 30 minutes. it is especially obtained that our dynamical herd behavior exhibits the phase transition at one time lag $\tau$ = 30 minutes.

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Paper provided by in its series Papers with number cond-mat/0408625.

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Date of creation: Aug 2004
Handle: RePEc:arx:papers:cond-mat/0408625
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