A mesoscopic stock market model with hysteretic agents

Grinfeld, Michael and Lamba, Harbir and Cross, Rodney (2013) A mesoscopic stock market model with hysteretic agents. Discrete and Continuous Dynamical Systems - Series B, 18 (2). 403–415. ISSN 1531-3492 (https://doi.org/10.3934/dcdsb.2013.18.403)

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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• Item metadata

  Item type:	Article
  ID code:	44826
  Dates:	Date Event March 2013 Published
  Subjects:	Science > Mathematics > Probabilities. Mathematical statistics
  Department:	Faculty of Science > Mathematics and Statistics Strathclyde Business School > Economics
  Depositing user:	Pure Administrator
  Date deposited:	12 Sep 2013 15:51
  Last modified:	08 Apr 2024 20:43
  Related URLs:	Scopus publication
  URI:	https://strathprints.strath.ac.uk/id/eprint/44826