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Short-term herding of institutional traders: New evidence from the German stock market

Kremer, Stephanie; Nautz, Dieter - 2011

This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional … investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding … behavior occurs on a daily basis. However, in contrast to longer-term herding measures obtained from quarterly data, results …

Persistent link: https://www.econbiz.de/10010281493

Herding and bank runs

Gu, Chao - 2007

Traditional models of bank runs do not allow for herding effects, because in these models withdrawal decisions are …'s portfolio, and the withdrawal histories of the other depositors. In some cases, the optimal banking contract permits herding …

Persistent link: https://www.econbiz.de/10010292061

Should Network Structure Matter in Agent-Based Finance?

Alfarano, Simone; Milaković, Mishael - 2008

We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature …

Persistent link: https://www.econbiz.de/10010296300

Network hierarchy in Kirman's ant model: fund investment can create systemic risk

Alfarano, Simone; Milaković, Mishael; Raddant, Matthias - 2009

herding. The model's original version suffers from the problem of N-dependence: its ability to replicate the statistical …

Persistent link: https://www.econbiz.de/10010299741

Path-Dependent Behavior with Asymmetric Information about Traders' Types

Testa, Alessia - 2012

private information. Path-dependency can be of two types contingent on whether agents act with the crowd (herding) or against … uncertainty that their predecessors acted purely for liquidity motives. In this setting we recover herding and contrarianism and …-dependent behavior more easily than poorly informed ones. Moreover, we illustrate how a market dominated by herding features a price that …

Persistent link: https://www.econbiz.de/10010333875

Accounting for Uncertainty Affecting Technical Change in an Economic-Climate Model

Bosetti, Valentina; Drouet, Laurent - 2005

The key role of technological change in the decline of energy and carbon intensities of aggregate economic activities is widely recognized. This has focused attention on the issue of developing endogenous models for the evolution of technological change. With a few exceptions this is done using...

Persistent link: https://www.econbiz.de/10010312524

Implied market price of weather risk

Härdle, Wolfgang Karl; López Cabrera, Brenda - 2009

Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...

Persistent link: https://www.econbiz.de/10010274151

Integrating biodiversity indices into a multi-species optimal control model

Bertram, Christine - 2010

Biodiversity is often adversely affected by human activities. This reduces social welfare but may be external to private economic decisions. Consequently, these external effects on biodiversity need to be considered explicitly in economic models, which is only partly reflected in the literature....

Persistent link: https://www.econbiz.de/10010285371

Voluntary agreements as information sharing devices: Competition and welfare effects

Cavaliere, Alberto; Frontoso Silvestri, Fabio - 2000

In this paper we consider Voluntary Agreements (VAs) as an information-sharing device. In a duopoly model firms compete à la Cournot and aim to reduce environmental damages because consumers have green preferences that partially internalise negative externalities. However both firms are...

Persistent link: https://www.econbiz.de/10011608634

Signal qualities, order of decisions, and informational cascades: Experimental evidences

Sasaki, Shunichiro - 2004

frequently than those which the Bayesian theory predicts, (4) subjects in seniority put equal weight on private signals and on …

Persistent link: https://www.econbiz.de/10010332216