Following the approach of , 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.
|Number of pages||13|
|Journal||Discrete and Continuous Dynamical Systems - Series B|
|Publication status||Published - Mar 2013|
- financial modeling
- Fokker-Planck equations