Herd Behavior of Returns in the Futures Exchange Market

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The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-β}$ with the exponents $ β=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter $h=2.33$, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step $Δt=360$ from the distribution of normalized returns. Our result will be also compared with other well-known results.
7 pages, 7 figures, Latex

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Statistical Mechanics, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208752

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0304143
 http://arxiv.org/abs/cond-mat/0304143

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arXiv