Top Highlights

• Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability.
• demonstrate that herd behaviour can have material consequences for investors, and regulators, alik
• challenge, technological and market developments have increased the potential for herding to arise
• For instance, investor sentiment mined from social media [17–19], and the availability of data sets quantifying collec- tive behaviour [20, 21], have the potential to facilitate both intentional and spurious herding (using the terminology of Bikhchandani and Sharma [3]).
• Models such as α-stable distributions [26], generalised hyperbolic models [27], generalised autoregressive conditional heteroskedasticity (GARCH) models [28] and sto- chastic volatility models [29] attempt to account for features, such as high kurtosis, long-mem- ory [30] and volatility clustering [31, 32] which are inconsistent with Gaussian behav...

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