The roles of mean residence time on herd behavior in a financial market

DOI10.1016/J.PHYSA.2016.06.061zbMath1400.91383OpenAlexW2420010861WikidataQ57535657 ScholiaQ57535657MaRDI QIDQ1619886

Jiang-Cheng Li, Dong-Cheng Mei, Yun-Xian Li, Nian Sheng Tang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.06.061

zbMATH Keywords

mean residence timeHeston modelherd behavioreconophysicsfinancial market

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic models in economics (91B70)

Related Items (2)

The time delay restraining the herd behavior with Bayesian approach ⋮ Dynamic behaviors and measurements of financial market crash rate

Cites Work

• Unnamed Item
• Role of noise in a market model with stochastic volatility
• Elements for a theory of financial risks
• Delays-based protein switches in a stochastic single-gene network
• Price dynamics, financial fragility and aggregate volatility
• Generalized autoregressive conditional heteroscedasticity
• Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
• The risks and returns of stock investment in a financial market
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Probability distribution of returns in the Heston model with stochastic volatility*
• Probability Distribution of the Residence Times in Periodically Fluctuating Metastable Systems
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Introduction to Econophysics

This page was built for publication: The roles of mean residence time on herd behavior in a financial market