Title :
Research on Collaborative Herding Behavior and Market Volatility Based on Computational Experiments
Author :
Jianhui, Yuan ; Yan, Li
Author_Institution :
Sch. of Econ. & Manage., NUIST, Nanjing, China
Abstract :
Previous research has shown that the synergy of collaborative herding behavior and market sentiment is one of the internal mechanisms for stock market volatility. In this paper, inter-agent imitation and the simulation of the collaboration of market sentiment signals are conducted on a platform of computational experiments. The results of the experiments show bubbles or collapse of stock price due to notable collaborative herding behavior and certain stability of the relationship between herding behavior and market volatility.
Keywords :
groupware; simulation; stock markets; collaborative herding behavior; computational experiments; inter-agent imitation; market sentiment; simulation; stock market volatility; Collaboration; computational experiments; herding behavior; market volatility;
Conference_Titel :
Information and Computing (ICIC), 2010 Third International Conference on
Conference_Location :
Wuxi, Jiang Su
Print_ISBN :
978-1-4244-7081-5
Electronic_ISBN :
978-1-4244-7082-2
DOI :
10.1109/ICIC.2010.173
