A strong deviation theorem and its application to herding effect

Zixian Cui; Yingxue Xiang; Peibiao Zhao; Dongyue Zhou

Results in Applied Mathematics (Feb 2020)

A strong deviation theorem and its application to herding effect

Zixian Cui,
Yingxue Xiang,
Peibiao Zhao,
Dongyue Zhou

Affiliations

Zixian Cui: Department of Applied Mathematics, Nanjing University of Science and Technology, Nanjing 210094, PR China
Yingxue Xiang: Department of Applied Mathematics, Nanjing University of Science and Technology, Nanjing 210094, PR China
Peibiao Zhao: Department of Applied Mathematics, Nanjing University of Science and Technology, Nanjing 210094, PR China; Corresponding author.
Dongyue Zhou: Holly Futures Co., Ltd., Nanjing, 210001, PR China

Journal volume & issue: Vol. 5

Abstract

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Wang and Yang (2011) studied the strong deviation theorems of the n-th order identical distribution (for short i.d.) random sequences. In the present paper we arrive at the strong deviation theorems for the moving averages of the third order non identical distribution(for short n.i.d.) random sequences. Then we use this strong deviation theorem for the second order n.i.d. random sequences to construct a reasonable model to describe the behavior of the Herd Effect. MSC: 62E10, 62P20, Keywords: Strong deviation theorems, Moving averages, Herd effect

Published in Results in Applied Mathematics

ISSN: 2590-0374 (Online)
Publisher: Elsevier
Country of publisher: United States
LCC subjects: Science: Mathematics
Website: https://www.journals.elsevier.com/results-in-applied-mathematics/

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