{
  "id": "cond-mat/9712318",
  "version": "v2",
  "published": "1997-12-30T13:27:48.000Z",
  "updated": "1998-01-06T18:34:25.000Z",
  "title": "Herd behavior and aggregate fluctuations in financial markets",
  "authors": [
    "Rama Cont",
    "Jean-Philippe Bouchaud"
  ],
  "comment": "Minor modifications in text, references added. 29 pages, typesetted using LATEX",
  "journal": "Macroeconomic Dynamics, 2000, Volume 4, No 2, 170-196",
  "doi": "10.1017/s1365100500015029",
  "categories": [
    "cond-mat.stat-mech",
    "adap-org",
    "cond-mat.dis-nn",
    "nlin.AO",
    "q-fin.ST"
  ],
  "abstract": "We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data. Our model provides a link between two well-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and 'herding' behavior in financial markets on the other hand. In particular, our study suggests a relation between the excess kurtosis observed in asset returns, the market order flow and the tendency of market participants to imitate each other.",
  "revisions": [
    {
      "version": "v2",
      "updated": "1998-01-06T18:34:25.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "financial markets",
      "aggregate fluctuations",
      "herd behavior",
      "heavy tails",
      "high frequency market data"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "LaTeX",
      "pages": 29,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "1997cond.mat.12318C"
    }
  }
}