A mean-field model of investor behaviour

Journal of Physics: Conference Series

Volumn 55, Issue 1, 2006, Pages 55-62

  Cross, R ^a   Grinfeld, M ^a   Lamba, H ^b  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b GEORGE MASON UNIVERSITY   (United States)

Author keywords

Economic modeling; Herding; Heterogeneous agent models; Market dynamics; Mean field approximations

Indexed keywords

EID: 33947656934     PISSN: 17426588     EISSN: 17426596     Source Type: Conference Proceeding    
DOI: 10.1088/1742-6596/55/1/005     Document Type: Conference Paper

References (20)

1. Alfarano S and Lux T 2003 A minimal noise trader model with realistic time series properties Economics Working Paper No. 2003-15 (Department of Economics, Christian-Albrechts-Universität, Kiel)
2. Arnold L 1998 Random Dynamical Systems (Berlin: Springer)
3. Bachelier L 1900 The Theory of Speculation reprinted in 1964 The Random Character of Stock Market Prices P H Cootner (Cambridge: MIT Press)
4. Brock W A and Durlauf S N 2001 Discrete choice with social interactions Rev. Economic Studies 68 235-60
5. Camerer C, Loewenstein G and Prelec D 2005 Neuroeconomics J. Economic Literature 43 9-64
6. Campbell J Y, Lo A W and MacKinlay A C 1997 The Econometrics of Financial Markets (Princeton: UP)
7. Cross R, Grinfeld M, Lamba H and Seaman T 2005 A threshold model of investor psychology Physica A 354 463-78
8. Daniels M G, Farmer J D, Gillemot L, Iori G and Smith E 2003 Quantitative model of price diffusion and market friction based on trading as a mechanistic random process Phys. Rev. Lett. 90 108102-1-4
9. Fama E F 1970 Efficient capital markets: a review of theory and empirical work J. Finance 25 283-417
10. Farmer J D 1999 Physicists attempt to scale the ivory towers of finance Computing Sci. Eng. 1 26-39
11. Grinfeld M, Piscitelli L and Cross R 2000 A probabilistic framework for hysteresis Physica A 287 577-86
12. Hommes C H 2006 Heterogeneous agent models in economics and finance Handbook of Computational Economics, vol 2: Agent-Based Computational Economics L Tesfatsion and K L Judd (Amsterdam: Elsevier) p 1-66
13. Horst U 1999 Ergodic fluctuations in a stock market model with interacting agents: the mean field case Discussion paper No. 106, Sonderforschungbereich 373 (Humboldt Universität, Berlin)
14. Keynes J M 1936 The General Theory of Employment, Interest, and Money (London: Macmillan)
15. Malkiel B G 2003 The efficient markets hypothesis and its critics J. Economic Perspectives 17 59-82
16. Merton R and Brodie Z 2005 Design of financial systems J. Investment Management 3 6-28
17. Shiller R J 2003 From efficient markets to behavioural finance J. Economic Perspectives 17 83-104
18. Shiller R J 1981 Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Rev. 71 421-36
19. Shleifer A and Summers L H 1990 The noise trader approach to finance J. Economic Perspectives 4 19-33
20. Stoll H R 2006 Electronic trading in stock markets J. Economic Perspectives 20 153-74