Estimating a Structural Model of Herd Behavior in Financial Markets

Estimating a Structural Model of Herd Behavior in Financial Markets
Author: Antonio Guarino
Publisher: International Monetary Fund
Total Pages: 35
Release: 2010-12-01
Genre: Business & Economics
ISBN: 1455211699

We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Inc.) during 1995. Herding often arises and is particularly pervasive on some days. The proportion of herd buyers (sellers) is 2 percent (4 percent) and is greater than 10 percent in 7 percent (11 percent) of information-event days. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the expected asset value.

The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance
Author: Shu-Heng Chen
Publisher: Oxford University Press
Total Pages: 785
Release: 2018-01-12
Genre: Business & Economics
ISBN: 0190877502

The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

Contemporary Issues in Behavioral Finance

Contemporary Issues in Behavioral Finance
Author: Simon Grima
Publisher: Emerald Group Publishing
Total Pages: 242
Release: 2019-07-04
Genre: Business & Economics
ISBN: 1787698831

This special edition of Contemporary Studies in Economic and Financial Analysis offers seventeen chapters from invited participants in the International Applied Social Science Congress, held in Turkey between the 19th and 21st April 2018.

Long Memory in Economics

Long Memory in Economics
Author: Gilles Teyssière
Publisher: Springer Science & Business Media
Total Pages: 394
Release: 2006-09-22
Genre: Business & Economics
ISBN: 3540346252

Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.

Contemporary Issues in Behavioral Finance

Contemporary Issues in Behavioral Finance
Author: Simon Grima
Publisher: Emerald Group Publishing
Total Pages: 314
Release: 2019-07-04
Genre: Business & Economics
ISBN: 1787698815

This special edition of Contemporary Studies in Economic and Financial Analysis offers seventeen chapters from invited participants in the International Applied Social Science Congress, held in Turkey between the 19th and 21st April 2018.

Rational Herds

Rational Herds
Author: Christophe Chamley
Publisher: Cambridge University Press
Total Pages: 420
Release: 2004
Genre: Business & Economics
ISBN: 9780521530927

Publisher Description

IMF Research Bulletin, December 2008

IMF Research Bulletin, December 2008
Author: International Monetary Fund. Research Dept.
Publisher: International Monetary Fund
Total Pages: 19
Release: 2008-12-11
Genre: Business & Economics
ISBN: 1451959540

December 2008: IMF research summaries on global herding in financial markets (by Marco Cipriani) and on fiscal decentralization (by Lusine Lusinyan); article on the experiences of IMF staff at the Nobel Laureate Meetings in Lindau, Germany (by Chris Crowe); listing of visiting scholars at the IMF during August–December 2008; listing of contents of Vol. 55 No. 4 of IMF Staff Papers; listing of recent IMF Working Papers; listing of recent external publications by IMF staff; and a Call for Papers for an upcoming conference on structural reforms.

Hedge Funds and Financial Market Dynamics

Hedge Funds and Financial Market Dynamics
Author: Mrs.Anne Jansen
Publisher: International Monetary Fund
Total Pages: 92
Release: 1998-05-15
Genre: Business & Economics
ISBN: 9781557757364

Hedge funds are collective investment vehicles, often organized as private partnerships and resident offshore for tax and regulatory purposes. Their legal status places few restrictions on their portfolios and transactions, leaving their managers free to use short sales, derivative securities, and leverage to raise returns and cushion risk. This paper considers the role of hedge funds in financial market dynamics, with particular reference to the Asian crisis.

Financial Crises Explanations, Types, and Implications

Financial Crises Explanations, Types, and Implications
Author: Mr.Stijn Claessens
Publisher: International Monetary Fund
Total Pages: 66
Release: 2013-01-30
Genre: Business & Economics
ISBN: 1475561008

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.