Alfarano, Simone; Milakovic, Mishael; Raddant, Matthias - Volkswirtschaftliche Fakultät, … - 2011
that the independence assumption of the CLT is violated by herding tendencies among market participants, and investigate … whether a generic probabilistic herding model can reproduce non-Gaussian statistics in systems with a large number of agents …. It is well-known that the presence of a herding mechanism in the model is not sucient for non-Gaussian properties, which …