相关论文: Experts' earning forecasts: bias, herding and goss…

Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices.…

Neural networks have revolutionized many empirical fields, yet their application to financial time series forecasting remains controversial. In this study, we demonstrate that the conventional practice of estimating models locally in…

We propose a model for stochastic formation of opinion clusters, modelled by an evolving network, and herd behaviour to account for the observed fat-tail distribution in returns of financial-price data. The only parameter of the model is h,…

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…

Individual choices are either based on personal experience or on information provided by peers. The latter case, causes individuals to conform to the majority in their neighborhood. Such herding behavior may be very efficient in aggregating…

We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…

The understanding of complex social or economic systems is an important scientific challenge. Here we present a comprehensive study of the Spanish Stock Exchange showing that most financial firms trading in that market are characterized by…

We investigate whether experts possess differential expertise when making predictions. We note that this would make it possible to aggregate multiple predictions into a result that is more accurate than their consensus average, and that the…

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…

We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated…

In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2) concurrent reactions of market players to dynamic market…

Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…

We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…

The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and…

A remarkable similarity in the behavior of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 years shift) is presented, with particular emphasis on the structure of the bearish phases.…

This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…

In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…

Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…

This paper is part of the Global Income Dynamics Project cross-country comparison of earnings inequality, volatility, and mobility. Using data from the U.S. Census Bureau's Longitudinal Employer-Household Dynamics (LEHD) infrastructure…

Efficient Market Hypothesis is the popular theory about stock prediction. With its failure much research has been carried in the area of prediction of stocks. This project is about taking non quantifiable data such as financial news…