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24 August 2019
  » pubmed » pmid11136071

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Transmission of information and herd Behavior: an application to financial markets
V M Eguíluz ; M G Zimmermann ;
Date 25 Dec 2000
Journal Phys Rev Lett, 85 (26 Pt 1), 5659-62
AbstractWe 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 measure of herding behavior. For h below a critical h(*) the system displays a power-law distribution of the returns with exponential cutoff. However, for h>h(*) an increase in the probability of large returns is found and may be associated with the occurrence of large crashes.
Source PubMed, pmid11136071
Other source [GID 103127] cond-mat/9908069
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