Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/30045 
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dc.contributor.authorIrle, Albrechten
dc.contributor.authorKauschke, Jonasen
dc.contributor.authorLux, Thomasen
dc.contributor.authorMilaković, Mishaelen
dc.date.accessioned2010-02-17-
dc.date.accessioned2010-02-26T13:28:14Z-
dc.date.available2010-02-26T13:28:14Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aKiel Working Paper |x1595en
dc.subject.jelC10en
dc.subject.jelD84en
dc.subject.jelD85en
dc.subject.jelG19en
dc.subject.ddc330en
dc.subject.keywordMarkov chainsen
dc.subject.keywordagent-based financeen
dc.subject.keywordherdingen
dc.subject.keywordN-dependenceen
dc.titleSwitching rates and the asymptotic behavior of herding models-
dc.typeWorking Paperen
dc.identifier.ppn618788670en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ifwkwp:1595en

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