2004/08/28 by Kyungsik Kim, Kim, Kyungsik, Seong‐Min Yoon +1
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Chaos control and synchronization #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Nonlinear Dynamics and Pattern Formation #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech)
paper · pdf · doi:10.48550/arxiv.cond-mat/0408625
openalex publication_date 2004/08/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag τ = 1 minute), 2.81 (30 minutes), and 2.29 (1 hour). The crash regime in which the probabilty density increases with the increasing return appears in the case of τ < 30 minutes, while it occurs no financial crash at τ > 30 minutes. it is especially obtained that our dynamical herd behavior exhibits the phase transition at one time lag τ = 30 minutes.