Title
Stochastic modelling of herd behaviour indices Stochastic modelling of herd behaviour indices
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
London ,
Subject
Sociology
Economics
Mathematics
Source (journal)
Quantitative finance. - London
Volume/pages
15(2015) :12 , p. 1963-1977
ISSN
1469-7688
ISI
000365285500004
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
This paper proposes different diffusion processes to model herd behaviour indices such as the Herd Behaviour Index (HIX). These models arise by combining popular mean-reverting processes with simple algebraic functions mapping the definition domain of the underlying mean-reverting process to the unit interval. The so obtained Itô processes preserve, to some extent, the mean-reverting trend of the underlying process while satisfying the fundamental properties of the so-called herd behaviour indices. In a numerical study, we calibrate the different model settings to time series data for a period spanning from January 2000 until October 2009 and investigate their ability to predict the future behaviour of herd behaviour indices.
E-info
https://repository.uantwerpen.be/docman/iruaauth/b1930b/e6f5bb680d4.pdf
Full text (open access)
https://repository.uantwerpen.be/docman/irua/0f2f19/9614.pdf
E-info
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Handle