An agent behavior based model for diffusion price processes with application to phase transition and oscillations

Christof Henkel

Papers from arXiv.org

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.

Date: 2016-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://arxiv.org/pdf/1606.08269 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:1606.08269

Access Statistics for this paper

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