Herd Behavior and Financial Crashes: An Interacting Particle System Approach
Joint Authors
Di Persio, Luca
Crescimanna, Vincenzo
Source
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-02-11
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We provide an approach based on a modification of the Ising model to describe the dynamics of stock markets.
Our model incorporates three different factors: imitation, the impact of external news, and private information; moreover, it is characterized by coupling coefficients, static in time, but not identical for each agent.
By analogy with physical models, we consider the temperature parameter of the system, assuming that it evolves with memory of the past, hence considering how former news influences realized market returns.
We show that a standard Ising potential assumption is not sufficient to reproduce the stylized facts characterizing financial markets; this is because it assigns low probabilities to rare events.
Hence, we study a variation of the previous setting providing, also by concrete computations, new insights and improvements.
American Psychological Association (APA)
Crescimanna, Vincenzo& Di Persio, Luca. 2016. Herd Behavior and Financial Crashes: An Interacting Particle System Approach. Journal of Mathematics،Vol. 2016, no. 2016, pp.1-7.
https://search.emarefa.net/detail/BIM-1108964
Modern Language Association (MLA)
Crescimanna, Vincenzo& Di Persio, Luca. Herd Behavior and Financial Crashes: An Interacting Particle System Approach. Journal of Mathematics No. 2016 (2016), pp.1-7.
https://search.emarefa.net/detail/BIM-1108964
American Medical Association (AMA)
Crescimanna, Vincenzo& Di Persio, Luca. Herd Behavior and Financial Crashes: An Interacting Particle System Approach. Journal of Mathematics. 2016. Vol. 2016, no. 2016, pp.1-7.
https://search.emarefa.net/detail/BIM-1108964
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1108964