Herd Behaviors in Financial Markets
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 t=1 day.
Turn this paper into a full lesson
ArcXiv compiles a staged curriculum from this paper: 8-12 lessons across beginner → advanced, synthesised section guides, visuals, flashcards, a quiz, exercises, and on-demand deep dives per section. Grounded in the abstract, never invented.