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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/76091

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76091

Title:	Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint
Authors:	Yamamoto, Ryuichi 山本竜市
Contributors:	國貿系
Keywords:	Asymmetric volatility;Econophysicss;Empirical research;Nearest neighbors;Simulation analysis;Spin models;Stock market;Volatility clustering;Spin dynamics;Simulators
Date:	2010-03
Issue Date:	2015-06-29 17:12:33 (UTC+8)
Abstract:	Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We conjecture that a limit of arbitrage due to a borrowing constraint and herding behavior by investors are related to these phenomena. This study conducts simulation analyses on a spin model where borrowing constrained agents imitate their nearest neighbors but switch their strategies to a different one intermittently. We show that herding matters for volatility clustering while a borrowing constraint intensifies the asymmetry of volatility through the herding effect. © 2009 Elsevier B.V. All rights reserved.
Relation:	Physica A: Statistical Mechanics and its Applications, 389(6), 1208-1214
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.physa.2009.11.038
DOI:	10.1016/j.physa.2009.11.038
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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