An agent behavior based model for diffusion price processes with application to phase transition and oscillations
Probability
2016-06-28 v1 Economics
Abstract
We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price dynamics. We furthermore establish the circumstances under which the dynamics converge to diffusion processes in the large market limit. To demonstrate the applicability of a separation of behavior and price process, we show how herding behavior of market participants can lead to equilibria transition and oscillations in diffusion price processes.
Cite
@article{arxiv.1606.08269,
title = {An agent behavior based model for diffusion price processes with application to phase transition and oscillations},
author = {Christof Henkel},
journal= {arXiv preprint arXiv:1606.08269},
year = {2016}
}