Transmission of Information and Herd Behavior: An Application to Financial Markets
We propose a model for stochastic formation of opinion clusters, modeled by an evolving network, and herd behavior to account for the observed fat-tail distribution in returns of financial-price data. The only parameter of the model is h, the rate of information dispersion per trade, which is a meas...
Guardado en:
| Autor principal: | |
|---|---|
| Otros Autores: | |
| Formato: | Capítulo de libro |
| Lenguaje: | Inglés |
| Publicado: |
2000
|
| Acceso en línea: | Registro en Scopus DOI Handle Registro en la Biblioteca Digital |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |