Mean field limit of a behavioral financial market model

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Mean-field approximation for a limit order driven market model.

A mean-field variant of the model of limit order driven market introduced recently by Maslov is formulated and solved. The agents do not have any strategies and the memory of the system is kept within the order book. We show that the evolution of the order book is governed by a matrix multiplicative process. The resulting stationary distribution of step-to-step price changes is calculated. It e...

متن کامل

a study on insurer solvency by panel data model: the case of iranian insurance market

the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.

Mean-field limit for the stochastic Vicsek model

We consider the continuous version of the Vicsek model with noise, proposed as a model for collective behavior of individuals with a fixed speed. We rigorously derive the kinetic mean-field partial differential equation satisfied when the number N of particles tends to infinity, quantifying the convergence of the law of one particle to the solution of the PDE. For this we adapt a classical coup...

متن کامل

On Simple Mean-Field Stochastic Model of Market Dynamics

We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two characteristic time scales: the time of changes of market environment (tm) and the characteristic time of news flow (tn). Price behavior in the most general case is dr...

متن کامل

Mean Field Limit for Stochastic Particle Systems

We review some classical and more recent results for the derivation of mean field equations from systems of many particles, focusing on the stochastic case where a large system of SDE’s leads to a McKean-Vlasov PDE as the number N of particles goes to infinity. Classical mean field limit results require that the interaction kernel be essentially Lipschitz. To handle more singular interaction ke...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Physica A: Statistical Mechanics and its Applications

سال: 2018

ISSN: 0378-4371

DOI: 10.1016/j.physa.2018.03.079