A Mesoscopic Stock Market Model with Hysteretic Agents
نویسندگان
چکیده
Following the approach of [22], we derive a system of FokkerPlanck 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 allowing bubbles and volatility clustering in particular.
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