Related papers: A kinetic description for the herding behavior in …
In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2) concurrent reactions of market players to dynamic market…
Learning the parameters of a (potentially partially observable) random field model is intractable in general. Instead of focussing on a single optimal parameter value we propose to treat parameters as dynamical quantities. We introduce an…
Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most…
A kinetic inhomogeneous Boltzmann-type equation is proposed to model the dynamics of the number of agents in a large market depending on the estimated value of an asset and the rationality of the agents. The interaction rules take into…
In this paper we study two models for crowd motion and herding. Each of the models is of Keller-Segel type and involves two parabolic equations, one for the evolution of the density and one for the evolution of a mean field potential. We…
We show that the algorithm to extract diverse M -solutions from a Conditional Random Field (called divMbest [1]) takes exactly the form of a Herding procedure [2], i.e. a deterministic dynamical system that produces a sequence of hypotheses…
Herding, where investors imitate others' decisions rather than relying on their own analysis, is a prevalent phenomenon in financial markets. Excessive herding distorts rational decisions, amplifies volatility, and can be exploited by…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We derive a hierarchy of kinetic and macroscopic models from a noisy variant of the heuristic behavioral Individual-Based Model of Moussaid et al, PNAS 2011, where the pedestrians are supposed to have constant speeds. This IBM supposes that…
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…
We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to…
We present examples of agent-based and stochastic models of competition and business processes in economics and finance. We start from as simple as possible models, which have microscopic, agent-based, versions and macroscopic treatment in…
We introduce and analyze a linear kinetic model that describes the evolution of the probability density of the number of firms in a society, in which the microscopic rate of change obeys to the so-called law of proportional effect proposed…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
We propose a method to infer lead-lag networks of traders from the observation of their trade record as well as to reconstruct their state of supply and demand when they do not trade. The method relies on the Kinetic Ising model to describe…
This paper deals with the kinetic theory modeling of crowd dynamics with the aim of showing how the dynamics at the micro-scale is transferred to the dynamics of collective behaviors. The derivation of a new model is followed by a…
Herding is a deterministic algorithm used to generate data points that can be regarded as random samples satisfying input moment conditions. The algorithm is based on the complex behavior of a high-dimensional dynamical system and is…
We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description…
Investigations of social influence in collective decision-making have become possible due to recent technologies and platforms that record interactions in far larger groups than could be studied before. Herding and its impact on…
We propose a generic model for multiple choice situations in the presence of herding and compare it with recent empirical results from a Web-based music market experiment. The model predicts a phase transition between a weak imitation phase…