The effect of herding in financial markets
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/111700
comunitat-uji-handle4:
TFG-TFMMetadatos
Título
The effect of herding in financial marketsAutoría
Tutor/Supervisor
Tedeschi, GabrieleTutor/Supervisor; Universidad.Departamento
Universitat Jaume I. Departament d'EconomiaFecha de publicación
2016-11-25Editor
Universitat Jaume IResumen
In this research we present a stylized financial agent-based model with heterogeneous noise traders that imitate each other on a dynamic network structure. Following Tedeschi et al. (2009, 2012), we show how an ... [+]
In this research we present a stylized financial agent-based model with heterogeneous noise traders that imitate each other on a dynamic network structure. Following Tedeschi et al. (2009, 2012), we show how an expectation feedback system can reproduce synchronization effects generating large fluctuations in returns. Moreover, we assess how ‘herding’ can give rise to some stylized facts such as volatility clustering and fat tailed distributions in some investigated variables such as indegree or returns, (see Cont, 2001). We demonstrate how the transition from periods of network centralization, corresponding to high synchronization in agents’ expectations, to periods of decentralization, when traders play randomly, is the key ingredient to reproduce these statistical properties above-mentioned. The model is an evolution of Tedeschi’s (2009), since we introduce and endogenous evolution mechanism of the intensity of choice, β. Here this parameter is updated daily according to the guru’s surviving period. Our findings show that there exists a strong correlation between the “guru evolution” and the returns time series. [-]
Palabras clave / Materias
Descripción
Treball Final de Grau en Economia. Codi: EC1049. Curs: 2015/2016
Tipo de documento
info:eu-repo/semantics/bachelorThesisDerechos de acceso
info:eu-repo/semantics/openAccess
Aparece en las colecciones
- Grau en Economia [289]
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