Analyzing herding behavior in commodities markets – an empirical approach

Júnior, Gerson de Souza Raimundo; Palazzi, Rafael Baptista; Klötzle, Marcelo Cabús; Pinto, Antônio Carlos Figueiredo

doi:10.1016/j.frl.2019.08.033

Cited by 17 publications

(9 citation statements)

References 13 publications

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“…The costs of agents are shown in Eqs. ( 9) and (10). The costs of the agents who complete the quota are the purchase cost of TGCs, but the agents who do not complete the quota must pay the extra penalty for the uncompleted part.…”

Section: Decision-makingmentioning

confidence: 99%

“…The TGC market efficiency represents the degree of the information reaction of TGC price, which means whether the price can truly reflect the production cost of RE, the changes in supply and demand side, and market risks, [6,7]. However, empirical studies show that the herding behavior which widely exists in financial market has interactions with asset prices and may reduce market efficiency, especially in emerging market because of weaker supervision and information disclosure [8][9][10]. In recent years, many countries, such as China and India, have begun to establish the TGC market.…”

Section: Introductionmentioning

confidence: 99%

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Effects of herding behavior of tradable green certificate market players on market efficiency: insights from heterogeneous agent model

Zuo

Xin-gang

2021

Front. Energy

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Tradable green certificate (TGC) scheme promotes the development of renewable energy industry which currently has a dual effect on economy and environment. TGC market efficiency is reflected in stimulating renewable energy investment, but may be reduced by the herding behavior of market players. This paper proposes and simulates an artificial TGC market model which contains heterogeneous agents, communication structure, and regulatory rules to explore the characteristics of herding behavior and its effects on market efficiency. The results show that the evolution of herding behavior reduces information asymmetry and improves market efficiency, especially when the borrowing is allowed. In addition, the fundamental strategy is diffused by herding evolution, but TGC market efficiency may be remarkably reduced by herding with borrowing mechanism. Moreover, the herding behavior may evolve to an equilibrium where the revenue of market players is comparable, thus the fairness in TGC market is improved.

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Section: Decision-makingmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Effects of herding behavior of tradable green certificate market players on market efficiency: insights from heterogeneous agent model

Zuo

Xin-gang

2021

Front. Energy

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“… Pindyck and Rotemberg (1990) , Cakan et al. (2019) , and Júnior et al. (2019) constitute academic papers that look into this nexus.…”

Section: Studies About Herding Phenomena In Traditional Financial Assmentioning

confidence: 99%

“…Studies investigating herding phenomena have made their appearance earlier and this issue has attracted more attention lately. Pindyck and Rotemberg (1990), Cakan et al (2019), andJúnior et al (2019) constitute academic papers that look into this nexus. One of the initial papers has been Pindyck and Rotemberg (1990) that identify co-movements among the prices of raw commodities and argue that these commodities are seemingly unrelated.…”

Section: Herding Phenomena In Commodity Marketsmentioning

confidence: 99%

“…Additionally, it is found that higher levels of herding result into higher levels of oil speculation in Russia and Brazil. As regards Júnior et al (2019), they investigate beta herding in commodity markets by adopting the Hwang and Salmon (2004) model and the beta adaptation by Hwang et al (2018) concerning a state-space model. Evidence is given of sentimental herding as regards food commodities.…”

Section: Herding Phenomena In Commodity Marketsmentioning

confidence: 99%

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Herding behaviour in digital currency markets: An integrated survey and empirical estimation

Kyriazis

2020

Heliyon

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This paper reviews the empirical literature on the highly popular phenomenon of herding behaviour in the markets of digital currencies. Furthermore, a comparison takes place with outcomes from earlier studies about traditional financial assets. Moreover, we empirically investigate herding behaviour of 240 cryptocurrencies during bull and bear markets. The present survey suggests that empirical findings about whether herding phenomena have made a significant appearance or not in cryptocurrency markets are split. The Cross-sectional absolute deviations (CSAD) and Cross-sectional standard deviations (CSSD) approaches for measuring herding tendencies are found to be the most popular. Different behaviour is detected in bull periods compared to bear markets. Nevertheless, evidence from primary studies indicates that herding is stronger during extreme situations rather than in normal conditions. However, our empirical estimations reveal that herding behaviour is evident only in bull markets. These findings cast light on and provide a roadmap for investment decisions with modern forms of liquidity.

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On the efficacy of “herd behavior” in the commodities market: A neuro‐fuzzy agent “herding” on deep learning traders

Guarino

Grilli

Santoro

et al. 2023

Appl Stoch Models Bus & Ind

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This article analyzes the trading strategies of five state‐of‐the‐art agents based on reinforcement learning on six commodity futures: brent oil, corn, gold, coal, natural gas, and sugar. Some of these were chosen because of the periods considered (when they became essential commodities), that is, before and after the 2022 Russia–Ukraine conflict. Agents behavior was assessed using a series of financial indicators, and the trader with the best strategy was selected. Top traders' behavior helped train our recently introduced neuro‐fuzzy agent, which adjusted its trading strategy through “herd behavior.” The results highlight how the reinforcement learning agents performed excellently and how our neuro‐fuzzy trader could improve its strategy using competitor movement information. Finally, we performed experiments with and without transaction costs, observing that, despite these costs, there are fewer transactions. Moreover, the intelligent agents' performances are outstanding and surpassed by the neuro‐fuzzy agent.

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Analyzing herding behavior in commodities markets – an empirical approach

Cited by 17 publications

References 13 publications

Effects of herding behavior of tradable green certificate market players on market efficiency: insights from heterogeneous agent model

Effects of herding behavior of tradable green certificate market players on market efficiency: insights from heterogeneous agent model

Herding behaviour in digital currency markets: An integrated survey and empirical estimation

On the efficacy of “herd behavior” in the commodities market: A neuro‐fuzzy agent “herding” on deep learning traders

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