Signal amplification in an agent-based herding model

Adri\'an Carro, Ra\'ul Toral and Maxi San Miguel

Papers from arXiv.org

Abstract: A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies and a limited rationality. We extend a stochastic herding formalism introduced for the modeling of decision making among financial agents, in order to take also into account an external influence. In particular, we study the amplification of an external signal imposed upon the agents by a mechanism of resonance. This signal can be interpreted as an advertising or a public perception in favor or against one of the two possible trading behaviors, thus periodically breaking the symmetry of the system and acting as a continuously varying exogenous shock. The conditions for the ensemble of agents to more accurately follow the periodicity of the signal are studied, finding a maximum in the response of the system for a given range of values of both the noise and the frequency of the input signal.

Date: 2013-02, Revised 2015-09
New Economics Papers: this item is included in nep-cmp and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/1302.6477 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1302.6477

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).