Estimating a Structural Model of Herd Behavior in Financial Markets
نویسندگان
چکیده
منابع مشابه
Estimating Herd Behavior in Financial Markets: A Structural Approach
We estimate a structural model of herd behavior in nancial markets. A sequence of traders exchanges an asset with a market maker. Trade occurs over many days. Herd behavior can arise despite the fact that the price is e¢ ciently set by the market maker. The price is updated too slowly by the market maker and there are periods in which traders choose the same action independently of their priva...
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In this paper we investigate the effects of herding on asset price dynamics during continuous trading. We focus on the role of interaction among traders, and we investigate the dynamics emerging when we allow for a tendency to mimic the actions of other investors, that is, to engage in herd behavior. The model, built as a mean field in a binary setting (buy/sell decisions of a risky asset), is ...
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ژورنال
عنوان ژورنال: American Economic Review
سال: 2014
ISSN: 0002-8282
DOI: 10.1257/aer.104.1.224