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Phase transition of dynamical herd behaviors for Yen–Dollar exchange rates

Seong-Min Yoon (), J.S. Choi, Y. Kim and Kyungsik Kim

Physica A: Statistical Mechanics and its Applications, 2006, vol. 359, issue C, 563-568

Abstract: We study the herd behavior and the phase transition 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 P(R)≃R-β with scaling exponents β=3.11, 2.81, and 2.29 at time intervals τ=1min, 30min, and 1h. The crash region in which the probability density increases with the increasing return appears, when the herding parameter h satisfies h⩾2.33 for the case of τ<30min. We especially obtain that no crash occurs τ>30min and that the probability distribution of price returns occurs in the phase transition at τ=30min.

Keywords: Herd behavior; Returns; Herding parameter; Yen–dollar exchange rate (search for similar items in EconPapers)
Date: 2006
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Handle: RePEc:eee:phsmap:v:359:y:2006:i:c:p:563-568