Nirei, Makoto; Stamatiou, Theodoros; Sushko, Vladyslav - Bank for International Settlements (BIS) - 2012
TWe estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing a dampened power-law in the fluctuation of...