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Herd Behaviors in Financial Markets

Kyungsik Kim·Seong-Min Yoon·J. S. Choi·Hideki Takayasu
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Abstract

We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \simeq R^{-β}$ with the exponents $ β=3.11$(the time interval $τ=$ one minute) and 3.36($τ=$ one day). The informational cascade regime appears in the herding parameter $H\ge 2.33$ at $τ=$ one minute, while it occurs no herding at $τ=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $Δt=1$ day.

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Kyungsik Kim, Seong-Min Yoon, J. S. Choi, Hideki Takayasu. 2004-05-09. Herd Behaviors in Financial Markets. https://doi.org/10.3938/jkps.44.647

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