| dc.contributor | 國貿系 | |
| dc.creator (作者) | Yamamoto, Ryuichi | |
| dc.creator (作者) | 山本竜市 | zh_TW |
| dc.date (日期) | 2010-03 | |
| dc.date.accessioned | 29-Jun-2015 17:12:33 (UTC+8) | - |
| dc.date.available | 29-Jun-2015 17:12:33 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Jun-2015 17:12:33 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/76091 | - |
| dc.description.abstract (摘要) | Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We conjecture that a limit of arbitrage due to a borrowing constraint and herding behavior by investors are related to these phenomena. This study conducts simulation analyses on a spin model where borrowing constrained agents imitate their nearest neighbors but switch their strategies to a different one intermittently. We show that herding matters for volatility clustering while a borrowing constraint intensifies the asymmetry of volatility through the herding effect. © 2009 Elsevier B.V. All rights reserved. | |
| dc.format.extent | 397929 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Physica A: Statistical Mechanics and its Applications, 389(6), 1208-1214 | |
| dc.subject (關鍵詞) | Asymmetric volatility; Econophysicss; Empirical research; Nearest neighbors; Simulation analysis; Spin models; Stock market; Volatility clustering; Spin dynamics; Simulators | |
| dc.title (題名) | Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.physa.2009.11.038 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.physa.2009.11.038 | |
