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 …

Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow … Lux–Marchesi model have been used. We show that a simple herding model with only four parameters leads to a quantitative … description of the data. As a new type of data we describe the volatility cluster by the waiting time distribution, which can be …

results that pose implications for current market theory and offer potential practical applications. …

that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from … the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from … the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on …