DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Minsung | ko |
dc.contributor.author | Kim, Minki | ko |
dc.date.accessioned | 2014-08-29T04:21:30Z | - |
dc.date.available | 2014-08-29T04:21:30Z | - |
dc.date.created | 2014-06-03 | - |
dc.date.created | 2014-06-03 | - |
dc.date.created | 2014-06-03 | - |
dc.date.issued | 2014-04 | - |
dc.identifier.citation | PLOS ONE, v.9, no.4 | - |
dc.identifier.issn | 1932-6203 | - |
dc.identifier.uri | http://hdl.handle.net/10203/189064 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | PUBLIC LIBRARY SCIENCE | - |
dc.subject | ASSET PRICES | - |
dc.subject | DYNAMICS | - |
dc.title | Group-Wise Herding Behavior in Financial Markets: An Agent-Based Modeling Approach | - |
dc.type | Article | - |
dc.identifier.wosid | 000334160900042 | - |
dc.identifier.scopusid | 2-s2.0-84899572863 | - |
dc.type.rims | ART | - |
dc.citation.volume | 9 | - |
dc.citation.issue | 4 | - |
dc.citation.publicationname | PLOS ONE | - |
dc.identifier.doi | 10.1371/journal.pone.0093661 | - |
dc.contributor.localauthor | Kim, Minki | - |
dc.contributor.nonIdAuthor | Kim, Minsung | - |
dc.description.isOpenAccess | Y | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | ASSET PRICES | - |
dc.subject.keywordPlus | DYNAMICS | - |
dc.subject.keywordPlus | ASSET PRICES | - |
dc.subject.keywordPlus | DYNAMICS | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.