Herd Behaviors in Financial Markets
Kyungsik Kim, Seong-Min Yoon, J. S. Choi, Hideki Takayasu
Abstract
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) R-β with the exponents β=3.11(the time interval τ= one minute) and 3.36(τ= one day). The informational cascade regime appears in the herding parameter H 2.33 at τ= one minute, while it occurs no herding at τ= one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step Δt=1 day.
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