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Market entry waves and volatility outbursts in stock markets

Blaurock, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - 2017

herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental … news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess … demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market …

Persistent link: https://www.econbiz.de/10011702006

Market entry waves and volatility outbursts in stock markets

Schwartz, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic behavior & organization : JEBO 153 (2018), pp. 19-37

Persistent link: https://www.econbiz.de/10011986639

Herding behavior, market sentiment and volatility : will the bubble resume?

Bekiros, Stelios; Jlassi, Mouna; Lucey, Brian M.; … - In: The North American journal of economics and finance : a … 42 (2017), pp. 107-131

Persistent link: https://www.econbiz.de/10011938084

Herding in fast moving consumer group sector : equity market asymmetry and crisis

Bharti, Bharti; Kumar, Ashish - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 9, pp. 39-49

Persistent link: https://www.econbiz.de/10012670774

Financial crises : uncovering self-organized patterns and predicting stock markets instability

Spelta, Alessandro; Flori, Andrea; Pecora, Nicolò; … - In: Journal of business research : JBR 129 (2021), pp. 736-756

Persistent link: https://www.econbiz.de/10012509734

Agent-based simulation and microstructure modeling of immature stock markets : case of a single risky asset

Krichene, Hazem; El-Aroui, Mhamed-Ali - In: Computational economics 51 (2018) 3, pp. 493-511

Persistent link: https://www.econbiz.de/10011963696

Artificial stock markets with different maturity levels : simulation of information asymmetry and herd behavior using agent-based and network models

Krichene, Hazem; El-Aroui, Mhamed-Ali - In: Journal of economic interaction and coordination : JEIC 13 (2018) 3, pp. 511-535

Persistent link: https://www.econbiz.de/10012111487

Cowboying stock market herds with robot traders

Galimberti, Jaqueson K.; Suhadolnik, Nicolas; Silva, … - In: Computational economics 50 (2017) 3, pp. 393-423

Persistent link: https://www.econbiz.de/10011783321

An agent-based stochastic volatility model

Alfarano, Simone - 2006

Persistent link: https://www.econbiz.de/10003307294

Herding behavior and volatility clustering in financial markets

Schmitt, Noemi; Westerhoff, Frank H. - 2016

fundamental trading rules to determine their orders. Volatility clustering arises in our model due to speculators' herding … financial markets, technical and fundamental analysis, heterogeneity, herding behavior, method of simulated moments …

Persistent link: https://www.econbiz.de/10011441292