2012/09/20 by Harbir Lamba, Lamba, Harbir
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.1209.4629
openalex publication_date 2012/09/20 · openalex created_date 2022/09/28 · openalex updated_date 2026/07/28
Quasi-equilibrium models for aggregate variables are widely-used throughout\nfinance and economics. The validity of such models depends crucially upon\nassuming that the systems' participants behave both independently and in a\nMarkovian fashion.\n We present a simplified market model to demonstrate that herding effects\nbetween agents can cause a transition to boom-and-bust dynamics at realistic\nparameter values. The model can also be viewed as a novel stochastic particle\nsystem with switching and reinjection.\n