A mesoscopic stock market model with hysteretic agents

Research output: Contribution to journalArticle

  • 3 Citations

Abstract

Following the approach of [22], we derive a system of Fokker-Planck equations to model a stock-market in which hysteretic agents can take long and short positions. We show numerically that the resulting mesoscopic model has rich behaviour, being hysteretic at the mesoscale and displaying bubbles and volatility clustering in particular.
LanguageEnglish
Pages403–415
Number of pages13
JournalDiscrete and Continuous Dynamical Systems - Series B
Volume18
Issue number2
DOIs
StatePublished - Mar 2013

Fingerprint

Market Model
Stock Market
Volatility Clustering
Fokker Planck equation
Fokker-Planck Equation
Bubble
Model
Financial markets

Keywords

  • financial modeling
  • hysteresis
  • Fokker-Planck equations

Cite this

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abstract = "Following the approach of [22], we derive a system of Fokker-Planck equations to model a stock-market in which hysteretic agents can take long and short positions. We show numerically that the resulting mesoscopic model has rich behaviour, being hysteretic at the mesoscale and displaying bubbles and volatility clustering in particular.",
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A mesoscopic stock market model with hysteretic agents. / Grinfeld, Michael; Lamba, Harbir; Cross, Rodney.

In: Discrete and Continuous Dynamical Systems - Series B, Vol. 18, No. 2, 03.2013, p. 403–415.

Research output: Contribution to journalArticle

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