Event
01_1
| 제출번호(No.) | 0037 |
|---|---|
| 분류(Section) | Special Session |
| 분과(Session) | Kinetic Theory and Fluid Dynamics (SS-03) |
| 영문제목 (Title(Eng.)) |
A particle model for the herding phenomena induced by dynamic market signals |
| 저자(Author(s)) |
Hyeong-Ohk Bae1, Seung-Yeon Cho2, Sang-Hyeok Lee1, Seok-Bae Yun2 Ajou University1, Sungkyunkwan University2 |
| 초록본문(Abstract) | In this paper, we study the herding phenomena arising from the combined effect of (1) non-coordinated collective interaction between the market players and (2) concurrent reactions of market players to dynamic market signals. By interpreting the expected rate of return of an asset and the favorability on that asset as position and velocity in phase space, we construct an agent based particle model for herding behavior in finance. We then define two types of herding functional using this model, and show that they satisfy Gronwall type estimates and La Salle type invariance property respectively, leading to the herding behavior of the market players. |
| 분류기호 (MSC number(s)) |
34D05 |
| 키워드(Keyword(s)) | herding behavior, expected rate of return, favorability, interaction, dynamic market signal |
| 강연 형태 (Language of Session (Talk)) |
Korean |