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• W2000779850 abstract "The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends to a power-law behavior $P(R) simeq R^{-beta}$ with the exponents $ beta=2.2$(the won-dollar exchange rate) and 2.4(the KOSPI). The financial crashes are found to occur at $h >2.33$ when the relative increase in the probability distribution of exteremely high price returns is observed. Especially, the distribution of normalized returns shows a crossover to a Gaussian distribution for the time step $Delta t=252$. Our results will be also compared to the other well-known analyses." @default.
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• W2000779850 date "2004-10-01" @default.
• W2000779850 modified "2023-10-01" @default.
• W2000779850 title "Herd behaviors in the stock and foreign exchange markets" @default.
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• W2000779850 doi "https://doi.org/10.1016/j.physa.2004.05.052" @default.
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