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Agent-based simulation of herding in financial markets

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

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Standard

Agent-based simulation of herding in financial markets. / Liu, Xin; Brooks, Roger John.
Proceedings of the Operational Research Society Simulation Workshop 2016 (SW16). ed. / A. Aagnostou; K. Hoad; M. Kunc. Operational Research Society, 2016. p. 45-53.

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

Harvard

Liu, X & Brooks, RJ 2016, Agent-based simulation of herding in financial markets. in A Aagnostou, K Hoad & M Kunc (eds), Proceedings of the Operational Research Society Simulation Workshop 2016 (SW16). Operational Research Society, pp. 45-53, Operational Research Society 8th Simulation Workshop 2016 (SW16), Stratford Upon Avon, United Kingdom, 11/04/16.

APA

Liu, X., & Brooks, R. J. (2016). Agent-based simulation of herding in financial markets. In A. Aagnostou, K. Hoad, & M. Kunc (Eds.), Proceedings of the Operational Research Society Simulation Workshop 2016 (SW16) (pp. 45-53). Operational Research Society.

Vancouver

Liu X, Brooks RJ. Agent-based simulation of herding in financial markets. In Aagnostou A, Hoad K, Kunc M, editors, Proceedings of the Operational Research Society Simulation Workshop 2016 (SW16). Operational Research Society. 2016. p. 45-53

Author

Liu, Xin ; Brooks, Roger John. / Agent-based simulation of herding in financial markets. Proceedings of the Operational Research Society Simulation Workshop 2016 (SW16). editor / A. Aagnostou ; K. Hoad ; M. Kunc. Operational Research Society, 2016. pp. 45-53

Bibtex

@inproceedings{9bf4f9c1b1dc4d91b09506fed3253431,
title = "Agent-based simulation of herding in financial markets",
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 {\textquoteleft}stylised facts{\textquoteright}) 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.",
keywords = "Agent based simulation, Financial markets, Herding, Gurus, Reproducibility",
author = "Xin Liu and Brooks, {Roger John}",
year = "2016",
month = apr,
day = "11",
language = "English",
pages = "45--53",
editor = "A. Aagnostou and Hoad, {K. } and M. Kunc",
booktitle = "Proceedings of the Operational Research Society Simulation Workshop 2016 (SW16)",
publisher = "Operational Research Society",
note = "Operational Research Society 8th Simulation Workshop 2016 (SW16), SW16 ; Conference date: 11-04-2016 Through 13-04-2016",
url = "http://www.theorsociety.com/Pages/Conferences/SW16/SW16.aspx",

}

RIS

TY - GEN

T1 - Agent-based simulation of herding in financial markets

AU - Liu, Xin

AU - Brooks, Roger John

N1 - Conference code: 8th

PY - 2016/4/11

Y1 - 2016/4/11

N2 - 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.

AB - 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.

KW - Agent based simulation

KW - Financial markets

KW - Herding

KW - Gurus

KW - Reproducibility

M3 - Conference contribution/Paper

SP - 45

EP - 53

BT - Proceedings of the Operational Research Society Simulation Workshop 2016 (SW16)

A2 - Aagnostou, A.

A2 - Hoad, K.

A2 - Kunc, M.

PB - Operational Research Society

T2 - Operational Research Society 8th Simulation Workshop 2016 (SW16)

Y2 - 11 April 2016 through 13 April 2016

ER -