Time delay in communication(information) flow is often found in many network systems. Inspired by volatility spillovers and clustering explained by “flocking” mechanism, we study the effect of the time delay in our model system of heterogeneous stock returns' volatilities. Our model is a...

In this study, we analyze the flocking pattern of stock volatilities according to the Cucker–Smale mechanism. We investigate the movement of a flock based on volatilities' time-varying coupling strength, and stochastic noise in coupling. The Volatility Flocking Index (VFI) summarizes the...