Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
884793 | Journal of Economic Behavior & Organization | 2006 | 15 Pages |
Abstract
We introduce a method of accurately and efficiently modeling a large population of participants in a financial market. Each participant is modeled as having an internal preference state affected by the continual arrival of exogenous information and by the behavior of others. In order to describe a community of traders, we introduce a population equation that is derived rigorously from the underlying single-agent model. The population equation is used to investigate collective behavior with mimetic interactions. We observe and study the sharp transitions in parameter space from a stable time-independent regime to instability where the demand and supply diverge sharply.
Related Topics
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ahmet Omurtag, Lawrence Sirovich,