Volatility cluster and herding

Herding, Information Cascades and Volatility Spillovers in Futures Markets

Idiosyncratic Volatility, Fundamentals, and Institutional Herding: Evidence from the Japanese Stock Market

We offer evidence that variations in firm idiosyncratic volatility are related to both behavior and fundamental factors. Using Japanese data from 1975 to 1999, we document that both institutional herding and the absolute value of firm earnings are positively related to idiosyncratic volatility. We find that institutional herding explains about 10% of the cross-sectional variation in idiosyncrat...

CLUSTER ALGEBRAS AND CLUSTER CATEGORIES

These are notes from introductory survey lectures given at the Institute for Studies in Theoretical Physics and Mathematics (IPM), Teheran, in 2008 and 2010. We present the definition and the fundamental properties of Fomin-Zelevinsky’s cluster algebras. Then, we introduce quiver representations and show how they can be used to construct cluster variables, which are the canonical generator...

Market Stress and Herding

Market Stress and Herding* We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market index itself and critically we can also separate such herding from common ...

Rational and Naive Herding

In social-learning environments, we investigate implications of the assumption that people naively believe that each previous person’s action reflects solely that person’s private information, leading them to systematically imitate all predecessors even in the many circumstances where rational agents do not. Naive herders inadvertently over-weight early movers’ private signals by neglecting tha...