We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the...

There is a growing consensus that fundamental financial theory based on the assumption that markets are complete is not sustainable when financial markets become increasingly complex. Traditional models fail to capture many of the stylized facts and biases identified by recent financial...

We review theory and evidence relating to herd behaviour, payoff and reputational interactions, social learning, and informational cascades in capital markets. We offer a simple taxonomy of effects, and evaluate how alternative theories may help explain evidence on the behavior of investors,...

Prevailing models of capital markets capture a limited form of social influence and information transmission, in which the beliefs and behavior of an investor affects others only through market price, information transmission and processing is simple (without thoughts and feelings), and there is...

Prevailing models of capital markets capture a limited form of social influence and information transmission, in which the beliefs and behavior of an investor affects others only through market price, information transmission and processing is simple (without thoughts and feelings), and there is...

This paper examines herding behavior in the Egyptian stock market using the CH model developed by Christie and Huang (1995) and the CCK model developed by Chang et al. (2000). We use daily returns data of the 20 most traded stocks in the Egyptian Exchange in addition to the daily returns of the...

In this paper, a time-delay model of speculative asset markets is developed to investigate the effect of time delays on the dynamics of asset prices. The basic model investigates the effect of time delays in the chartists expectations function on the deviation of asset prices from their...

In this paper two models of speculative markets are developed to study the effects of feedback mechanisms in financial markets. In the first model, a crash market model couples a linear chartist–fundamentalist model with time delays with a log-periodic market index I(t) through direct...

The Greenspan---Bernanke doctrine on how the Federal Reserve responds to stock market bubbles reflects an ideological allegiance to the rational markets theories of stock prices while reluctantly accepting the analytical insights of the speculative markets theories of the Post Keynesians and...