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Heterogeneous expectations leading to bubbles and crashes in asset markets : tipping point, herding behavior and group effect in an agent-based model
Lee, Sunyoung; Lee, Keun - In: Journal of open innovation : technology, market, and … 1 (2015) 11, pp. 1-13
This paper develops an agent-based model(ABM) to replicate financial instability, such as bubbles and crashes in asset … the impact of the herding behavior by dividing agents into several groups of varying sizes but with the same expectations …
Persistent link: https://www.econbiz.de/10011342746
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An agent-based early warning indicator for financial market instability
Vidal-Tomás, David; Alfarano, Simone - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 49-87
Persistent link: https://www.econbiz.de/10012226890
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Multi-asset financial bubbles in an agent-based model with noise traders' herding described by an n-vector Ising model
Cividino, Davide; Westphal, Rebecca; Sornette, Didier - 2021
asynchronous bubbles emerge. Above the critical value, small random price fluctuations may be amplified by noise traders herding … is able to account for the development of endogenous bubbles and crashes. We distinguish three different regimes …’ opinions are idiosyncratic and no bubbles emerge. Around the critical value of the O(n) vector model, cross sectionally …
Persistent link: https://www.econbiz.de/10012799633
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Dynamics of phase transitions in expectations for financial markets : an agent-based, multicomponent model
Silver, Steven D.; Raseta, Marko; Bazarova, Alina - In: The journal of behavioral finance : a publication of … 23 (2022) 1, pp. 92-105
Persistent link: https://www.econbiz.de/10012802019
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Contrarian behavior, information networks and heterogeneous expectations in an asset pricing model
Makarewicz, Tomasz - In: Computational economics 50 (2017) 2, pp. 231-279
Persistent link: https://www.econbiz.de/10011762381
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Rational herding and financial fragility : lessons for the Indian banking system
Pal, Malabika - In: Praj̄nȧn : journal of social and management sciences 49 (2020) 1, pp. 67-90
Persistent link: https://www.econbiz.de/10012665840
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Some important characteristics of asset bubbles and financial crises
Yip, Paul S. L. - In: Modern economy 9 (2018) 7, pp. 1137-1168
Persistent link: https://www.econbiz.de/10011914499
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Regulatory medicine against financial market instability : what helps and what hurts
Kerbl, Stefan - 2011
Persistent link: https://www.econbiz.de/10009385145
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3 % rules the market : herding behavior of a group of investors, asset market volatility, and return to the group in an agent-based model
Lee, Sunyoung; Lee, Keun - In: Journal of economic interaction and coordination 16 (2021) 2, pp. 359-380
Persistent link: https://www.econbiz.de/10012496635
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Econophysical bourse volatility : global evidence
Ghosh, Bikramaditya; Krishna Mysore Chidambareswaran - In: Journal of central banking theory and practice 9 (2020) 2, pp. 87-107
Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the...
Persistent link: https://www.econbiz.de/10012305755