New York Fed report models herd behaviour

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A staff report, published by the Federal Reserve Bank of New York on May 30, develops a model of financial market herding behaviour using transaction data from the New York Stock Exchange (NYSE).

The authors, Marco Cipriani and Antonio Guarino, suggest a trader may rationally engage in herd behaviour after, for example, a history of buys even if private information to the contrary exists.

Based on their model, the authors find that "herding was present in the market and fairly pervasive on some

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