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)
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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 type: Article ID code: 44826 Dates: DateEventMarch 2013PublishedSubjects: Science > Mathematics > Probabilities. Mathematical statistics Department: Faculty of Science > Mathematics and Statistics
Strathclyde Business School > EconomicsDepositing user: Pure Administrator Date deposited: 12 Sep 2013 15:51 Last modified: 11 Nov 2024 10:29 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/44826
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