Simulation of a financial market: the possibility of catastrophic disequilibrium

DOI10.1016/J.CHAOS.2019.05.011zbMath1448.91287OpenAlexW2944996946WikidataQ127838561 ScholiaQ127838561MaRDI QIDQ2213030

Amit K. Sinha, Philip A. Horvath, Kelly R. Roos, Tyler Beason

Publication date: 27 November 2020

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2019.05.011

zbMATH Keywords

financial marketsmean-field theoryagent-based modelsnonlinear rate equationskinetic Monte Carlo simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Financial markets (91G15)

Related Items (1)

A new approach to extreme event prediction and mitigation via Markov-model-based chaos control

Cites Work

• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Common risk factors in the returns on stocks and bonds
• Physics and social science -- the approach of synergetics

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