Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

A simple asymmetric herding model to distinguish between stock and foreign exchange markets

Tools
- Tools
+ Tools

Alfarano, Simone and Franke, Reiner (2007) A simple asymmetric herding model to distinguish between stock and foreign exchange markets. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.07-).

[img]
Preview
PDF
WRAP_Alfarano_fwp07-01.pdf - Requires a PDF viewer.

Download (967Kb)
Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...

Request Changes to record.

Abstract

Drawing on previous work of one of the authors, the paper takes an asymmetric variant of Kirman’s ant model and combines it with an elementary asset pricing mechanism. The closed-form solution of the equilibrium probability distribution allows the specification of a tractable likelihood function for daily returns, which is then employed to estimate the model’s behavioural parameters for a large pool of Japanese stocks. By way of Monte Carlo simulations it is found that most of these markets belong to the same class, which is characterized by a dominance of the stylized noise traders. In contrast, the model assigns a number of major foreign exchange markets to a different class, where on average the majority of agents follows the fundamentalist trading rule. Implications for the tail index are also worked out.

Item Type: Working or Discussion Paper (Working Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH): Stock markets -- Mathematical models, Probabilities, Foreign exchange rates -- Mathematical models, Monte Carlo method
Series Name: Working papers (Warwick Business School. Financial Econometrics Research Centre)
Publisher: Warwick Business School, Financial Econometrics Research Centre
Place of Publication: Coventry
Official Date: May 2007
Dates:
DateEvent
May 2007Published
Number: No.07-
Number of Pages: 39
Status: Not Peer Reviewed
Access rights to Published version: Open Access
Funder: Sixth Framework Programme (European Commission) (FP6)
Grant number: 516446 (SFP)

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics

twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us