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

Ryuichi Yamamoto*

*この研究の対応する著者

研究成果: Article査読

7 被引用数 (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.

本文言語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
6
DOI
出版ステータスPublished - 2010 3 15
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 凝縮系物理学

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