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Agent-based simulation of herding in financial markets

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNConference contribution/Paper

Published
Publication date11/04/2016
Host publicationProceedings of the Operational Research Society Simulation Workshop 2016 (SW16)
EditorsA. Aagnostou, K. Hoad, M. Kunc
PublisherOperational Research Society
Pages45-53
Number of pages9
Original languageEnglish
EventOperational Research Society 8th Simulation Workshop 2016 (SW16) - Ettington Chase Hotel, Stratford Upon Avon, United Kingdom
Duration: 11/04/201613/04/2016
Conference number: 8th
http://www.theorsociety.com/Pages/Conferences/SW16/SW16.aspx

Workshop

WorkshopOperational Research Society 8th Simulation Workshop 2016 (SW16)
Abbreviated titleSW16
CountryUnited Kingdom
CityStratford Upon Avon
Period11/04/1613/04/16
Internet address

Workshop

WorkshopOperational Research Society 8th Simulation Workshop 2016 (SW16)
Abbreviated titleSW16
CountryUnited Kingdom
CityStratford Upon Avon
Period11/04/1613/04/16
Internet address

Abstract

There are several models of financial markets which look at the herding effect. This is a situation where many market traders act as a herd in that they all behave in a similar way with their trading. This type of behaviour may explain certain observed characteristics (or ‘stylised facts’) in real markets. However, the various models have different herding mechanisms and market settings This paper sets out the rationale of our approach and our initial work in trying to get a better understanding of herding in financial markets. Our research, though, is at an early stage. The basic methodology is to reproduce and compare some of the existing models, hopefully leading to a more general understanding and measure of herding and the relationship with market behaviour. One model has been investigated so far and this is described. A more general issue is the research importance of reproducing previous studies.