Ren, F.; Zheng, B.; Chen, P. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2744-2750
A dynamic herding model with interactions of trading volumes is introduced. At time t, an agent trades with a probability, which depends on the ratio of the total trading volume at time tâ1 to its own trading volume at its last trade. The price return is determined by the volume imbalance and...
