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A mesoscopic stock market model with hysteretic agents. (English) Zbl 1260.91152
Summary: Following the approach of A. Omurtag and L. Sirovich [“Modeling a large population of traders: Mimesis and stability”, J. Econ. Behav. Organiz. 61, 562–576 (2006)], we derive a system of Fokker-Planck equations to model a stock-market in which hysteretic agents can take long and short positions. We show numerically that the resulting mesoscopic model has rich behaviour, being hysteretic at the mesoscale and displaying bubbles and volatility clustering in particular.

91B55 Economic dynamics
91B26 Auctions, bargaining, bidding and selling, and other market models
35Q91 PDEs in connection with game theory, economics, social and behavioral sciences
47J40 Equations with nonlinear hysteresis operators
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