政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/72857

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/72857

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题名:	Volatility clustering and herding agents: does it matter what they observe?
作者:	Yamamoto, Ryuichi 山本竜市
贡献者:	國貿系
日期:	2011-05
上传时间:	2015-01-13 17:43:00 (UTC+8)
摘要:	Recent agent-based models have demonstrated that agents` herding behavior causes volatility clustering in stock markets. We examine economies where agents herd on others, yet they have limited sets of information on other agents to imitate. In particular, we conduct experiments on economies with agents with different levels of information sharing where agents can imitate: 1. the strategies of others but with an error, 2. the strategies of only a fraction of agents, or 3. the strategies of others, but update their parameters only by a proportion. In each experiment we change the likelihood that agents make errors to copy the strategy of others, the fraction of agents to herd, or the proportion of the parameter that agents update, in order to examine the effect of the different degrees of information sharing on volatility clustering. We show that volatility clustering tends to disappear when agents have limited information on the strategies of others, and agents need to imitate the strategy details of others in order to generate the clustered volatility. [PUBLICATION ABSTRACT]
關聯:	Journal of Economic Interaction and Coordination, 6(1), 41-59
数据类型:	article
DOI 連結:	http://dx.doi.org/10.1007/s11403-010-0075-5
DOI:	10.1007/s11403-010-0075-5
显示于类别:	[國際經營與貿易學系 ] 期刊論文

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