Herd behavior and return dynamics in a share market with many types of agents

Aoki, Masanao
June 2000
AIP Conference Proceedings;2000, Vol. 519 Issue 1, p699
Academic Journal
This paper considers a market in which shares of a holding company is traded by agents of many types. The market behavior is examined by regarding clusters of agents by types as random combinatorial partitions of agents by types. The equilibrium distribution is known to be the Ewens sampling formula. The paper examines the situations in which two types of agents dominate in the markets by using the marginal distribution for the two largest fractions of agent types. The returns are conjectured to obey a power-law.


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