This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions empirically using a comprehensive data set of highfrequency and...

Economic significance is frequently assessed through statistical hypothesis testing. This habitual use is, however, usually not matching with the implicit economical questions being addressed. In this paper we propose using mean value decomposition to assess economic significance. Unlike most...

Economic significance is frequently assessed through statistical hypothesis testing, which however, does not always correspond to the implicit economical questions being addressed. In this paper we propose using mean value decomposition to assess economic significance. Unlike most previously...