SWITCHING RATES AND THE ASYMPTOTIC BEHAVIOR OF HERDING MODELS

DOI10.1142/S0219525911002949zbMath1217.91210OpenAlexW1997066825MaRDI QIDQ3018437

Jonas Kauschke, Albrecht Irle, Mishael Milaković, Thomas C. H. Lux

Publication date: 27 July 2011

Published in: Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219525911002949

zbMATH Keywords

Markov chainsherding\(N\)-dependenceagent-based finance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (3)

Linking agent-based models and stochastic models of financial markets ⋮ Convergence of switching diffusions ⋮ Financial power laws: empirical evidence, models, and mechanisms

Cites Work

• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
• Thermodynamic limits of macroeconomic or financial models: one- and two-parameter Poisson-Dirichlet models
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• Estimation of agent-based models: The case of an asymmetric herding model
• Network structure andn-dependence in agent-based herding models
• Unnamed Item

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