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- W45834484 abstract "We estimate a structural model of herd behavior in …nancial markets. A sequence of traders exchanges an asset with a market maker. Trade occurs over many days. Herd behavior can arise despite the fact that the price is e¢ ciently set by the market maker. The price is updated too slowly by the market maker and there are periods in which traders choose the same action independently of their private signal. We estimate the model by maximum likelihood using transaction data on one NYSE stock in the …rst quarter 1995. We detect the periods of the trading day in which there could be herd behavior. We …nd that such periods account for 15% of the total number of trading periods." @default.
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- W45834484 date "2005-01-01" @default.
- W45834484 modified "2023-09-27" @default.
- W45834484 title "Estimating Herd Behavior in Financial Markets: A Structural Approach" @default.
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