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# Phase Transition of Dynamical Herd Behaviors in Financial Markets

## Author

Listed:
• Kyungsik Kim
• Seong-Min Yoon

## Abstract

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.

## Suggested Citation

• Kyungsik Kim & Seong-Min Yoon, 2004. "Phase Transition of Dynamical Herd Behaviors in Financial Markets," Papers cond-mat/0408625, arXiv.org.
• Handle: RePEc:arx:papers:cond-mat/0408625
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File URL: http://arxiv.org/pdf/cond-mat/0408625

## Citations

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Cited by:

1. Roehner, Bertrand M., 2005. "Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 347(C), pages 613-625.

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