Simulator herding & bubble — model Banerjee (1992) + De Long et al. (1990)
κ — Kekuatan herding (konformitas pada sinyal orang lain)
0 = investor mandiri, 1 = meniru total (information cascade)
σ — Volatilitas fundamental (noise informasi privat)
0 = sinyal sempurna, tinggi = banyak noise
μ — Dana pelaku noise-trader (De Long et al. 1990)
Modal noise trader vs arbitrageur — limits to arbitrase
Peak overval (% di atas wajar)
+58%
Drawdown pasca-peak
−42%
Skor risiko bubble
72/100
Fundamental (nilai wajar) Harga pasar (herding-driven) Peak bubble