Phase Transition of Dynamical Herd Behaviors in Financial Markets

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $\tau$ = 1...

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Bibliographic Details
Published inIDEAS Working Paper Series from RePEc
Main Authors Kim, Kyungsik, Seong-Min, Yoon
Format Paper
LanguageEnglish
Published St. Louis Federal Reserve Bank of St. Louis 01.01.2004
Subjects
Phase transitions
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Summary:We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $\tau$ = 1 minute), 2.81 (30 minutes), and 2.29 (1 hour). The crash regime in which the probabilty density increases with the increasing return appears in the case of $\tau$