ListarDepartament: Economia por tema "herding"
Mostrando ítems 1-5 de 5
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A note on institutional hierarchy and volatility in financial markets
Taylor & Francis (2012)From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this ... -
Agents interaction and price dynamics: evidence from the laboratory
Springer (2022-08-26)Using data collected from an experimental double auction market, we study the dynamics of interaction among traders. Our focus is on the effect the trading network has on price dynamics and price-fundamental convergence. ... -
Anatomy of a Stablecoin’s failure: The Terra-Luna case
Elsevier (2023)We quantitatively describe the main events that led to the Terra project’s failure in May 2022. We first review, in a systematic way, news from heterogeneous social media sources; we discuss the fragility of the Terra ... -
Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach
Springer (2018-10)We take the model of Alfarano et al. (J Econ Dyn Control 32:101–136, 2008) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental ... -
Transitions in the cryptocurrency market during the COVID-19 pandemic: A network analysis
Elsevier (2021-02-17)In this letter, we identify the transitions of the cryptocurrency market during the pandemic by means of a network analysis. This method allows us to observe that COVID-19 significantly affected cryptocurrencies during a ...