Title: Predicting Herding Trend by Fuzzy
Logic
Abstract: In
this
article we focus on the predicting of herding behavior towards the
Toronto
Stock exchange index (TSX60) using a fuzzy logic. We use monthly data
from
January 2000 to December 2006. Our observations are divided into two
subsets:
the first is used for estimation and the second for the forecasting.
Despite
the estimated model produced an inexact answer, with a probabilistic
output,
it is possible to implement an investment strategy, using the herding
index
as a proxy for investors, which outperforms a buy-and-hold one.
Authors: Amina
Amirat,
Nizar Hachicha, and Abdelfettah Bouri