Herding behaviour and volatility clustering in financial markets

DOI10.1080/14697688.2016.1267391zbMath1402.91925OpenAlexW2304335098MaRDI QIDQ4555131

Frank H. Westerhoff, Noemi Schmitt

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1267391

zbMATH Keywords

heterogeneitymethod of simulated momentstechnical and fundamental analysisherding behaviourstylized facts of financial markets

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Co-existence of trend and value in financial markets: estimating an extended Chiarella model ⋮ The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach ⋮ Multi-agent-based VaR forecasting

Cites Work

• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• A global optimization heuristic for estimating agent based models
• Representativeness of news and exchange rate dynamics
• Minimal agent based model for financial markets. I
• Minimal agent based model for financial markets. II
• Behavioral heterogeneity in stock prices
• Estimation of agent-based models: The case of an asymmetric herding model
• A simple general approach to inference about the tail of a distribution
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
• Time series properties of an artificial stock market
• Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
• The impact of heterogeneous trading rules on the limit order book and order flows
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Empirical properties of asset returns: stylized facts and statistical issues
• MULTIASSET MARKET DYNAMICS
• Introduction to Econophysics
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• Stylized facts of financial markets and market crashes in Minority Games

This page was built for publication: Herding behaviour and volatility clustering in financial markets