Series: IMF Working Papers
Author(s): Antonio Guarino , and Marco Cipriani
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2010
Keywords: Herd Behavior, Market Microstructure, Structural Estimation, probability, financial markets, probabilities, standard deviation, financial economics, Asymmetric and Private Information, Estimation,
We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the mode...