Group-wise herding behavior in financial markets: an agent-based modeling approach.

In this paper, we shed light on the dynamic characteristics of rational group behaviors and the relationship between monetary policy and economic units in the financial market by using an agent-based model (ABM), the Hurst exponent, and the Shannon entropy. First, an agent-based model is used to ana...

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Autores principales:	Minsung Kim, Minki Kim
Formato:	article
Lenguaje:	EN
Publicado:	Public Library of Science (PLoS) 2014
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/f1beaaa374db424e95b4044a287e7458
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spelling	oai:doaj.org-article:f1beaaa374db424e95b4044a287e74582021-11-18T08:24:29ZGroup-wise herding behavior in financial markets: an agent-based modeling approach.1932-620310.1371/journal.pone.0093661https://doaj.org/article/f1beaaa374db424e95b4044a287e74582014-01-01T00:00:00Zhttps://www.ncbi.nlm.nih.gov/pmc/articles/pmid/24714635/?tool=EBIhttps://doaj.org/toc/1932-6203In this paper, we shed light on the dynamic characteristics of rational group behaviors and the relationship between monetary policy and economic units in the financial market by using an agent-based model (ABM), the Hurst exponent, and the Shannon entropy. First, an agent-based model is used to analyze the characteristics of the group behaviors at different levels of irrationality. Second, the Hurst exponent is applied to analyze the characteristics of the trend-following irrationality group. Third, the Shannon entropy is used to analyze the randomness and unpredictability of group behavior. We show that in a system that focuses on macro-monetary policy, steep fluctuations occur, meaning that the medium-level irrationality group has the highest Hurst exponent and Shannon entropy among all of the groups. However, in a system that focuses on micro-monetary policy, all group behaviors follow a stable trend, and the medium irrationality group thus remains stable, too. Likewise, in a system that focuses on both micro- and macro-monetary policies, all groups tend to be stable. Consequently, we find that group behavior varies across economic units at each irrationality level for micro- and macro-monetary policy in the financial market. Together, these findings offer key insights into monetary policy.Minsung KimMinki KimPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 9, Iss 4, p e93661 (2014)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Minsung Kim Minki Kim Group-wise herding behavior in financial markets: an agent-based modeling approach.
description	In this paper, we shed light on the dynamic characteristics of rational group behaviors and the relationship between monetary policy and economic units in the financial market by using an agent-based model (ABM), the Hurst exponent, and the Shannon entropy. First, an agent-based model is used to analyze the characteristics of the group behaviors at different levels of irrationality. Second, the Hurst exponent is applied to analyze the characteristics of the trend-following irrationality group. Third, the Shannon entropy is used to analyze the randomness and unpredictability of group behavior. We show that in a system that focuses on macro-monetary policy, steep fluctuations occur, meaning that the medium-level irrationality group has the highest Hurst exponent and Shannon entropy among all of the groups. However, in a system that focuses on micro-monetary policy, all group behaviors follow a stable trend, and the medium irrationality group thus remains stable, too. Likewise, in a system that focuses on both micro- and macro-monetary policies, all groups tend to be stable. Consequently, we find that group behavior varies across economic units at each irrationality level for micro- and macro-monetary policy in the financial market. Together, these findings offer key insights into monetary policy.
format	article
author	Minsung Kim Minki Kim
author_facet	Minsung Kim Minki Kim
author_sort	Minsung Kim
title	Group-wise herding behavior in financial markets: an agent-based modeling approach.
title_short	Group-wise herding behavior in financial markets: an agent-based modeling approach.
title_full	Group-wise herding behavior in financial markets: an agent-based modeling approach.
title_fullStr	Group-wise herding behavior in financial markets: an agent-based modeling approach.
title_full_unstemmed	Group-wise herding behavior in financial markets: an agent-based modeling approach.
title_sort	group-wise herding behavior in financial markets: an agent-based modeling approach.
publisher	Public Library of Science (PLoS)
publishDate	2014
url	https://doaj.org/article/f1beaaa374db424e95b4044a287e7458
work_keys_str_mv	AT minsungkim groupwiseherdingbehaviorinfinancialmarketsanagentbasedmodelingapproach AT minkikim groupwiseherdingbehaviorinfinancialmarketsanagentbasedmodelingapproach
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Group-wise herding behavior in financial markets: an agent-based modeling approach.

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