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    题名: Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint
    作者: Yamamoto, Ryuichi
    山本竜市
    贡献者: 國貿系
    关键词: Asymmetric volatility;Econophysicss;Empirical research;Nearest neighbors;Simulation analysis;Spin models;Stock market;Volatility clustering;Spin dynamics;Simulators
    日期: 2010-03
    上传时间: 2015-06-29 17:12:33 (UTC+8)
    摘要: 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. © 2009 Elsevier B.V. All rights reserved.
    關聯: Physica A: Statistical Mechanics and its Applications, 389(6), 1208-1214
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.physa.2009.11.038
    DOI: 10.1016/j.physa.2009.11.038
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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