Herding model and 1/f noise
Abstract
We provide evidence that for some values of the parameters a simple agent based model, describing herding behavior, yields signals with 1/f power spectral density. We derive a non-linear stochastic differential equation for the ratio of number of agents and show, that it has the form proposed earlier for modeling of 1/f^beta noise with different exponents beta. The non-linear terms in the transition probabilities, quantifying the herding behavior, are crucial to the appearance of 1/f noise. Thus, the herding dynamics can be seen as a microscopic explanation of the proposed non-linear stochastic differential equations generating signals with 1/f^beta spectrum. We also consider the possible feedback of macroscopic state on microscopic transition probabilities strengthening the non-linearity of equations and providing more opportunities in the modeling of processes exhibiting power-law statistics.
Keywords
Cite
@article{arxiv.1111.1306,
title = {Herding model and 1/f noise},
author = {J. Ruseckas and B. Kaulakys and V. Gontis},
journal= {arXiv preprint arXiv:1111.1306},
year = {2015}
}