Phase Transition of Dynamical Herd Behaviors in Financial Markets
| dc.creator | Kim, Kyungsik | |
| dc.creator | Yoon, Seong-Min | |
| dc.date | 2004-08-28 | |
| dc.date.accessioned | 2026-07-07T12:07:01Z | |
| dc.date.available | 2026-07-07T12:07:01Z | |
| dc.description | We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $τ$ = 1 minute), 2.81 (30 minutes), and 2.29 (1 hour). The crash regime in which the probabilty density increases with the increasing return appears in the case of $τ$ < 30 minutes, while it occurs no financial crash at $τ$ > 30 minutes. it is especially obtained that our dynamical herd behavior exhibits the phase transition at one time lag $τ$ = 30 minutes. | |
| dc.description | 9 pages | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0408625 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0408625 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208827 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Statistical Finance | |
| dc.title | Phase Transition of Dynamical Herd Behaviors in Financial Markets | |
| dc.type | text |