Since the seismic behavior of the earth’s energy (which follows from the power law distribution) can be similarly seen in the energy realized by the stock markets, in this paper we consider a statistical study for comparing the financial crises and the earthquakes. For this end, the TP statistic, proposed by Pisarenko and et al. (2004), is employed for estimating the critical point or the lower...

This paper investigates whether Japanese banks followed herd behavior in lending in local financial markets during 1980—1999. By using loan data from Japanese banks, arranged by geographical area, we find leader-follower relationships between lending behavior of different types of banks. Specifically, herding is mostly caused by local banks. Local banks follow major banks in urban cities, while...

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...

This paper evaluates the data from the recent financial crisis to examine the risk spillover effects of financial markets value at risk (VaR), which captures the extreme behavior of an asset, is considered a measure of risk in an asset or in a market. We hypothesize that an extreme downside movement of returns in a market measured by a VaR has negative effects on other markets, causing a simila...

The Problem: This project is intended to study the behavior of intelligent market-makers in a competitive environment. Our artificial financial market can be populated by various types of trading agents with varying levels of intelligence. This provides a framework for testing the behavior of simple and adaptive market-makers who compete with each other for profits, and for comparing price beha...