A mesoscopic stock market model with hysteretic agents

Research output: Contribution to journalArticle

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.
Original languageEnglish
Pages (from-to)403–415
Number of pages13
JournalDiscrete and Continuous Dynamical Systems - Series B
Volume18
Issue number2
DOIs
StatePublished - Mar 2013

    Research areas

  • financial modeling, hysteresis, Fokker-Planck equations

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