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arXiv · 1606.08269

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

Christof Henkel
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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.

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math.PRecon.GNq-fin.EC

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Christof Henkel. 2016-06-27. An agent behavior based model for diffusion price processes with application to phase transition and oscillations. https://arxiv.org/abs/1606.08269

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