【摘 要】
：
Herd behavior in financial markets often leads to unjustified macroscopic phenomena.However,despite existing studies on modeling herd behavior,how it varies across individual agents and over time remains unclear.We show that herd behavior in mutual fund c
【机 构】
：
School of Statistics and Mathematics,Central University of Finance and Economics,Beijing 100081,Chin
论文部分内容阅读
Herd behavior in financial markets often leads to unjustified macroscopic phenomena.However,despite existing studies on modeling herd behavior,how it varies across individual agents and over time remains unclear.We show that herd behavior in mutual fund companies can be understood from the functional networks representing interactions inferred from investment similarities.Specifically,in this paper,the spatial characteristics of herd behavior stand for the topology relationships of observations in networks.We analyze the collective dynamics of mutual fund investment from 2003 to 2019 in China using the language of network science and show that herding behavior accompanies this industry\'s development but dwindles after the 2015 Chinese market crash.By integrating community detection analysis,we found an increased degree of coherence in the collective herding behavior of the system,even though the localization of herding behavior decreases for clusters of mutual fund companies when the systemic risk builds up.Further analysis showed that herding behavior impacts the payoff of individual fund companies differently across years.The spatial-temporal changes of herding behavior between mutual funds presented in this paper shed light on the debate of individual versus systemic risk and,thus,could interest regulators and investors.
其他文献
Resource allocation is one of the most important applications of data envelopment analysis(DEA).Usually,the resource to be allocated is directly related to the interests of decision-making units(DMUs),thus the dynamic non-cooperative game is one of the re
This paper studies the estimation of the partially linear panel data models,allowing for cross-sectional dependence through a common factors structure.This semiparametric additive partial linear framework,including both linear and nonlinear additive compo
This paper studies the problem of principal-agent with moral hazard in continuous time.The firm\'s cash flow is described by geometric Brownian motion(hereafter GBM).The agent affects the drift of the firm\'s cash flow by her hidden effort.Meanwhile,t
Scientists may shift research interests and span multiple research areas in their careers,reflecting the research diversification of scientists.Quantifying the scientists\' research diversity can help to understand the research patterns of scientists.In
In this paper,we provide a new theoretical framework of pyramid Markov processes to solve some open and fundamental problems of blockchain selfish mining under a rigorous mathematical setting.We first describe a more general model of blockchain selfish mi
The performance of traditional imbalanced classification algorithms is degraded when deal-ing with highly imbalanced data.How to deal with highly imbalanced data is a difficult problem.In this paper,the authors propose an ensemble tree classifier for high
In this paper empirical likelihood(EL)-based inference for a semiparametric varying-coefficient spatial autoregressive model is investigated.The maximum EL estimators for the parametric component and the nonparametric component are established.Furthermore
Panel count data are frequently encountered when study subjects are under discrete ob-servations.However,limited literature has been found on variable selection for panel count data.In this paper,without considering the model assumption of observation pro
This paper explores the coordination problem of a socially responsible supply chain,in which the supplier contributes corporate social responsibility by donating a specific amount of money to a cause marketing and the retailer cares for consumer surplus i
The rational ruled surface is a typical modeling surface in computer aided geometric design.A rational ruled surface may have different representations with respective advantages and disadvan-tages.In this paper,the authors revisit the representations of