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 …

We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature …

herding. The model's original version suffers from the problem of N-dependence: its ability to replicate the statistical … hierarchical networks in the generalized model that presumably reflect the institutional heterogeneity of financial markets. These … network structures do overcome the problem of N-dependence, but at the same time they also increase system-wide volatility …

capital flows driven by “herding,” “flocking,” and “contagion.” Policies to deal with volatility by weakening, or even …, to volatility. The paper utilizes a large, detailed database on individual trader positions in crude-oil and heating …

Aid ineffectiveness, fragmentation, and volatility have already been highlighted by scholars and OECD studies. Far … fewer studies have been devoted to another problem of capital flows: herding behaviour. Building upon a methodology applied … to financial markets, where herding is a common feature, this article attempts to measure herding behaviour in the …

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

bubbles, crashes, and volatility are surveyed and a promising direction for future research, based on a theory of short …-side rationing, is described. The theory suggests that, especially in extreme market conditions, marginal quantities held or not held … versus realized volatility, generation of an extreme events line (EEL), and a crash intensity comparison metric. These …

, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are … absolute and squared returns increase with the intensities of herding and trend chasing based on long time horizon. However an … increase in switching intensity reduces the return volatility and in particular a low switching intensity reduces the price …

article finds that aid donors herd similarly to portfolio funds on financial markets. It also estimates the causes of herding … have no effect. Finally, identified causes of herding explain little of its overall level, suggesting strategic motives …