A threshold model of investor psychology

Physica A: Statistical Mechanics and its Applications

Volumn 354, Issue 1-4, 2005, Pages 463-478

  Cross, Rod ^a   Grinfeld, Michael ^a   Lamba, Harbir ^b   Seaman, Tim ^b  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b GEORGE MASON UNIVERSITY   (United States)

Author keywords

Herding; Investor psychology; Kurtosis; Volatility clustering

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; DATA ACQUISITION; INVESTMENTS; MARKETING; STATISTICS; THRESHOLD ELEMENTS;

HERDING; INVESTOR PSYCHOLOGY; KURTOSIS; VOLTALITY CLUSTERING;

PSYCHOLOGY COMPUTING;

EID: 19944367896     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.02.029     Document Type: Article

References (42)

1. F. Black, and M. Scholes The pricing of options and corporate liabilities J. Polit. Econ. 81 1973 637 654
2. A. Kirman Ants, rationality and recruitment Quart. J. Econ. 108 1993 137 156
3. M. Youssefmir, and B.A. Huberman Clustered volatility in multiagent dynamics J. Econ. Behav. Organ. 32 1997 101 118
4. N. Barberis, A. Shleifer, and R. Vishny A model of investor sentiment J. Financ. Econ. 49 1998 304 343
5. T. Kaizoji Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity Physica A 287 2000 493 506
6. B. LeBaron Agent-based computational finance suggested readings and early research J. Econ. Dyn. Control 24 2000 679 702
7. T. Lux, and M. Marchesi Scaling and criticality in a stochastic mult-agent model of a financial market Nature 397 1999 493 500
8. T. Lux, and M. Marchesi Volatility clustering in financial markets a micro-simulation of interacting agents Int. J. Theor. Appl. Financ. 3 2000 675 702
9. R. Mantegna, and H. Stanley An Introduction to Econophysics 2000 Cambridge University Press Cambridge
10. J.D. Farmer A simple model for the nonequilibrium dynamics and evolution of a financial market Int. J. Theor. Appl. Financ. 3 2000 451 468
11. R. Cont, and J.P. Bouchaud Herd behavior and aggregate fluctuations in financial markets Macroecon. Dyn. 4 2000 170 196
12. D. Sornette Stock market speculation spontaneous symmetry breaking of economic valuation Physica A 284 2000 355 375
13. M. Hart, P. Jeffries, P.M. Hui, and N.F. Johnson Crowd-anticrowd theory of multi-agent market games Eur. Phys. J. B 20 2001 547 550
14. S. Bornholdt Expectation bubbles in a spin model of markets intermittency from frustration across scales Int. J. Mod. Phys. C 12 2001 667 674
15. T. Kaizoji, S. Bornholdt, and Y. Fujiwara Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents Physica A 316 2002 441 452
16. I. Giardina, and J.-P. Bouchaud Bubbles, crashes and intermittency in agent based market models Eur. Phys. J. B 31 2003 421 437
17. I. Giardina, and J.-P. Bouchaud Volatility clustering in agent based market models Physica A 324 2003 6 16
18. A. Krawiecki, and J.A. Holyst Stochastic resonance as a model for financial market crashes and bubbles Physica A 317 2003 597 608
19. F. Wagner Volatility cluster and herding Physica A 322 2003 607 619
20. E.F. Fama Efficient capital markets a review of theory and empirical work J. Financ. 25 1970 383 417
21. E.F. Fama Efficient capital markets J. Financ. 46 1991 1575 1618
22. C. Avery, and P. Zemsky Multidimensional uncertainty and herd behavior in financial markets Am. Econ. Rev. 88 1998 724 748
23. H.A. Simon A behavioural model of rational choice Quart. J. Econ. 69 1955 99 118
24. W.B. Arthur Inductive reasoning and bounded rationality Am. Econ. Rev. 84 1994 406 412
25. D. Challet, and Y.C. Zhang Emergence of cooperation and organization in an evolutionary game Physica A 246 1997 407 418
26. D. Challet, and Y.C. Zhang On the minority game analytical and numerical studies Physica A 256 1998 514 532
27. R. Cross, M. Grinfeld, H. Lamba, A. Pittock, Frustration minimization, hysteresis and the el farol problem, in: M.P. Mortell, R.E. O'Malley Jr., A. Pokrovskii, V. Sobolev (Eds.), Relaxation Oscillations and Hysteresis, forthcoming. Can also be obtained at math.gmu.edu/~ harbir/far0908.pdf.
28. R.H. Day, and V.L. Smith Experiments in Decision, Organization and Exchange 1993 North-Holland Amsterdam
29. J.H. Kagel, A.E. Roth (Eds.), The Handbook of Experimental Economics, Princeton University Press, Princeton, NJ, 1995.
30. T. Odean Are investors reluctant to realize their losses? J. Financ. 53 1998 1775 1798
31. R. Cross, A.M. Krasnosel'skii, and A. Pokrovskii A time-dependent preisach model Physica B 306 2001 206 210
32. H.R. Stoll Microstructure The Organization of Trading and Short-term Price Behavior 2002 Edward Elgar
33. D. Kahneman, and A. Tversky Judgement under uncertainty heuristics and biases Science 185 1974 263 291
34. M.G. Daniels, J.D. Farmer, L. Gillemot, G. Ori, and E. Smith Quantitative model of price diffusion and market friction based on trading as a mechanistic random process Phys. Rev. Lett. 90 2003 108102
35. V. Plerou, P. Goprikrishnan, X. Gabaix, and H. Eugene Stanley Quantifying stock-price response to demand fluctuations Phys. Rev. E 66 2002
36. M. Raberto, S. Cincott, S. Focardi, and M. Marchesi Traders' long-run wealth in an artificial financial market Comput. Econ. 22 2003 26 39
37. J.Y. Campbell, A.W. Lo, and A.C. Mackinlay The Econometrics of Financial Markets 1999 Princeton University Press Princeton, NJ
38. J.D. Farmer Physicists attempt to scale the ivory towers of finance Comput. Sci. Eng. 1 1999 255 272
39. G.W. Schwert Why does stock market volatility change over time? J. Financ. 44 1989 1115 1153
40. G.W. Schwert, and P.J. Seguin Heteroskedasticity in stock returns J. Financ. 45 1990 1129 1155
41. P. Veronesi Stock market overreaction to bad news in good times a rational expectations equilibrium model Rev. Financ. Studies 12 1999 975 1007
42. A. Gaunersdorfer, C.H. Hommes, F.O.O. Wagener, Bifurcation routes to volatility clustering under evolutionary learning, Technical Report, University of Amsterdam, Centre for Nonlinear Dynamics in Economics and Finance, 2003.