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these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so … good that it may provide a standard for future research. -- Method of simulated moments ; moment coverage ratio ; herding …
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herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … absolute and squared returns increase with herding and trend chasing based on long time horizon. On the other hand, the …
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Modelling the behaviour of stock markets has been of major interest in the past century. The market can be treated as a network of many investors reacting in accordance to their group behaviour, as manifested by the index and effected by the flow of external information into the system. Here we...
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