Beauty Contests and Fat Tails in Financial Markets

Publisher: Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University

Notes on use

Note (General)：: I gratefully acknowledge the financial support from Utah State University and the Research Center for Price Dynamics (JSPS Grant-in-Aid for Creative S...

Detailed bibliographic record

Summary, etc.：: This paper demonstrates that fat-tailed distributions of trade volume and stock returns emerge in a simultaneous-move herding model of rational trader...

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Material Type: 文書・図像類
Title: Beauty Contests and Fat Tails in Financial Markets
Author/Editor: 楡井, 誠
Author Heading: 楡井, 誠ニレイ, マコト
Publication, Distribution, etc.: Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University
Publication Date: 2011-08
Publication Date (W3CDTF): 2011-08
Contributor: 日本経済の物価変動ダイナミクスの解明 = Understanding Inflation Dynamics of the Japanese Economy
Text Language Code: eng
Subject Heading: Herd behavior
trade volume
stock return
fat tail
power law
Target Audience: 一般
Note (General): I gratefully acknowledge the financial support from Utah State University and the Research Center for Price Dynamics (JSPS Grant-in-Aid for Creative Scientific Research 18GS0101).
学術創成研究費 = Grant-in-Aid for Creative Scientific Research
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/19246/IFD_WP76.pdf
Access Restrictions: インターネット公開
Related Material (URI): URI
http://www.ier.hit-u.ac.jp/~ifd/
Periodical Title: Working Paper Series ; No. 76
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources