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Herd Behaviors in Financial Markets
김경식,최점수,Hideki Takayasu,윤성민 한국물리학회 2004 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.44 No.32
We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese nancial market. It is found that the probability distribution P(R) of returns R satises the powerlaw behavior P(R) ' Rက with the exponents = 3:11 (the time interval = one minute) and 3:36 ( = one day). The informational cascade regime appears in the herding parameter H 2:33 at = one minute, while there is no herding at = one day. In particular, we nd that the distribution of normalized returns shows a crossover to a Gaussian distribution with a time step t = 1 day.