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.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 0378-4371 |
| Language: | English |
| Item ID: | 55631 |
| Date Deposited: | 14. Jun 2018, 09:59 |
| Last Modified: | 04. Nov 2020, 13:35 |
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