Accepted author manuscript, 176 KB, PDF document
Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Conference contribution/Paper › peer-review
Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Conference contribution/Paper › peer-review
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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 -