英文标题：
《A particle model for the herding phenomena induced by dynamic market
signals》
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作者：
Hyeong-Ohk Bae, Seung-yeon Cho, Sang-hyeok Lee, Seok-Bae Yun
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最新提交年份：
2017
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英文摘要：
In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions 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 functionals using this model, and show that they satisfy a Gronwall type estimate and a LaSalle type invariance property respectively, leading to the herding behavior of the market players. Various numerical tests are presented to numerically verify these results.
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中文摘要：
在本文中，我们研究了金融市场中由（1）市场参与者之间的非协调集体互动和（2）市场参与者对动态市场信号的并发反应的综合效应引起的羊群现象。通过将资产的预期收益率和资产的偏好解释为相空间中的位置和速度，我们构建了一个基于agent的金融羊群行为粒子模型。然后，我们使用该模型定义了两类羊群泛函，并证明它们分别满足Gronwall型估计和LaSalle型不变性，从而导致市场参与者的羊群行为。通过各种数值试验对这些结果进行了数值验证。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Dynamical Systems 动力系统
分类描述：Dynamics of differential equations and flows, mechanics, classical few-body problems, iterations, complex dynamics, delayed differential equations
微分方程和流动的动力学，力学，经典的少体问题，迭代，复杂动力学，延迟微分方程
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