Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint

研究成果: Article

6 引用 (Scopus)

抄録

Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We conjecture that a limit of arbitrage due to a borrowing constraint and herding behavior by investors are related to these phenomena. This study conducts simulation analyses on a spin model where borrowing constrained agents imitate their nearest neighbors but switch their strategies to a different one intermittently. We show that herding matters for volatility clustering while a borrowing constraint intensifies the asymmetry of volatility through the herding effect.

元の言語English
ページ(範囲)1208-1214
ページ数7
ジャーナルPhysica A: Statistical Mechanics and its Applications
389
発行部数6
DOI
出版物ステータスPublished - 2010 3 15
外部発表Yes

Fingerprint

Borrowing Constraints
Volatility Clustering
Herding
volatility
Volatility
Empirical Research
Arbitrage
Spin Models
Stock Market
Asymmetry
Nearest Neighbor
Switch
Simulation Study
asymmetry
simulation

ASJC Scopus subject areas

  • Condensed Matter Physics
  • Statistics and Probability

これを引用

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