{
  "id": "cond-mat/0405172",
  "version": "v1",
  "published": "2004-05-09T00:38:55.000Z",
  "updated": "2004-05-09T00:38:55.000Z",
  "title": "Herd Behaviors in Financial Markets",
  "authors": [
    "Kyungsik Kim",
    "Seong-Min Yoon",
    "J. S. Choi",
    "Hideki Takayasu"
  ],
  "comment": "15 pages, 6 figures",
  "journal": "J. Korean Phys. Soc. 44, 647 (2004)",
  "categories": [
    "cond-mat.stat-mech",
    "q-fin.ST"
  ],
  "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 $P(R) \\simeq R^{-\\beta}$ with the exponents $ \\beta=3.11$(the time interval $\\tau=$ one minute) and 3.36($\\tau=$ one day). The informational cascade regime appears in the herding parameter $H\\ge 2.33$ at $\\tau=$ one minute, while it occurs no herding at $\\tau=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $\\Delta t=1$ day.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2004-05-09T00:38:55.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "herd behavior",
      "informational cascade regime appears",
      "yen-dollar exchange rate",
      "japanese financial market",
      "gaussian distribution"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "doi": "10.3938/jkps.44.647",
      "journal": "Journal of Korean Physical Society",
      "year": 2004,
      "month": "Mar",
      "volume": 44,
      "number": 3,
      "pages": 647
    },
    "note": {
      "typesetting": "TeX",
      "pages": 15,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2004JKPS...44..647K"
    }
  }
}