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摘要翻译：
我们导出了一个随机微分方程组，模拟了三个具有羊群相互作用的agent群体的动力学。该方法对具有相似主体组成的复杂社会经济系统的建模具有一定的参考价值。我们证明了如何通过扩展代理人的羊群互动和引入第三代理人状态来再现金融市场绝对收益的复杂统计特征。同时，我们考虑了引入额外外生噪声的羊群模型的可能扩展。这种一致的微观和宏观模型精确地再现了金融市场收益的经验幂律统计。
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英文标题：
《Fluctuation analysis of the three agent groups herding model》
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作者：
Vygintas Gontis, Aleksejus Kononovicius
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最新提交年份：
2013
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
We derive a system of stochastic differential equations simulating the dynamics of the three agent groups with herding interaction. Proposed approach can be valuable in the modeling of the complex socio-economic systems with similar composition of the agents. We demonstrate how the sophisticated statistical features of the absolute return in the financial markets can be reproduced by extending the herding interaction of the agents and introducing the third agent state. As well we consider possible extension of proposed herding model introducing additional exogenous noise. Such consistent microscopic and macroscopic model precisely reproduces empirical power law statistics of the return in the financial markets.
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PDF链接：
https://arxiv.org/pdf/1305.5958
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