Herd Behaviors in Econophysical System

"We investigate the dynamical process of herd behavior and its effect on return volatility in the futures exchange and foreign finacial markets. We find that the probability distribution of returns displays a power law for three types of herding parameters. For the herding parameter h <2.33, namely in case of active information transmission and transaction, the herd behavior is not prevalent and return volatility is low. But for h>2.33, the herd behavior appears frequently and the return volatility is high in case of inactive information transmission and transaction. We can conclude that the bubbles and crashes in financial market are caused by high herding parameter and the critical value h^{*}=2.33. We also find that, with an increasing time interval, a crossover toward a Gaussian distribution is observed from semilog plot of the distribution of normalized returns. "