Volatility flocking by Cucker-Smale mechanism in financial markets
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Cites work
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- A mathematical model for volatility flocking with a regime switching mechanism in a stock market
- An investigation of a nonlocal hyperbolic model for self-organization of biological groups
- Application of flocking mechanism to the modeling of stochastic volatility
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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- Emergence of time-asymptotic flocking in a stochastic Cucker-Smale system
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- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- From particle to kinetic and hydrodynamic descriptions of flocking
- Herding and contrarian behavior in financial markets
- How do cultural classes emerge from assimilation and distinction? An extension of the Cucker-Smale flocking model
- scientific article; zbMATH DE number 796445 (Why is no real title available?)
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- Modeling and Forecasting Realized Volatility
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Cited in
(7)- Time-delayed stochastic volatility model
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- A mathematical model for multi-name credit based on community flocking
- Emergent dynamics of the first-order stochastic Cucker-Smale model and application to finance
- A mathematical model for volatility flocking with a regime switching mechanism in a stock market
- Application of flocking mechanism to the modeling of stochastic volatility
- A dive into the asymptotic analysis theory: a short review from fluids to financial markets
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