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dc.contributor.authorIrle, Albrechten_US
dc.contributor.authorKauschke, Jonasen_US
dc.contributor.authorLux, Thomasen_US
dc.contributor.authorMilaković, Mishaelen_US
dc.date.accessioned2010-02-17en_US
dc.date.accessioned2010-02-26T13:28:14Z-
dc.date.available2010-02-26T13:28:14Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/30045-
dc.description.abstractMarkov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they apply to agent-based herding models, with the particular goal of establishing their asymptotic behavior because several studies have pointed out that the ability of such models to reproduce the stylized facts hinges crucially on the size of the agent population (typically denoted by n), a phenomenon that is also known as n-dependence. Our main finding is that n-(in)dependence traces back to both the topology and the velocity of information transmission among heterogeneous financial agents.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKiel working paper 1595en_US
dc.subject.jelC10en_US
dc.subject.jelD84en_US
dc.subject.jelD85en_US
dc.subject.jelG19en_US
dc.subject.ddc330en_US
dc.subject.keywordMarkov chainsen_US
dc.subject.keywordagent-based financeen_US
dc.subject.keywordherdingen_US
dc.subject.keywordN-dependenceen_US
dc.titleSwitching rates and the asymptotic behavior of herding modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn618788670en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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Kieler Arbeitspapiere, IfW

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