Abstract
We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Ito-diffusion price processes in the large market limit.
| Dokumententyp: | Zeitschriftenartikel |
|---|---|
| Fakultät: | Mathematik, Informatik und Statistik > Mathematik |
| Themengebiete: | 500 Naturwissenschaften und Mathematik > 510 Mathematik |
| ISSN: | 0378-4371 |
| Sprache: | Englisch |
| Dokumenten ID: | 55631 |
| Datum der Veröffentlichung auf Open Access LMU: | 14. Jun. 2018, 09:59 |
| Letzte Änderungen: | 04. Nov. 2020, 13:35 |
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