A mathematical model for volatility flocking with a regime switching mechanism in a stock market
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Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic models in economics (91B70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Clustering in the social and behavioral sciences (91C20) Financial applications of other theories (91G80)
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Cites work
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- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A simple proof of the Cucker-Smale flocking dynamics and mean-field limit
- An investigation of a nonlocal hyperbolic model for self-organization of biological groups
- Analysis and simulations of a refined flocking and swarming model of Cucker-Smale type
- Application of flocking mechanism to the modeling of stochastic volatility
- Asymptotic flocking dynamics for the kinetic Cucker-Smale model
- Cluster formation in opinion dynamics: a qualitative analysis
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- Emergence of time-asymptotic flocking in a stochastic Cucker-Smale system
- Emergent Behavior in Flocks
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- How do cultural classes emerge from assimilation and distinction? An extension of the Cucker-Smale flocking model
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Cited in
(12)- Time-delayed stochastic volatility model
- Effect of time delay on flocking dynamics
- Volatility flocking by Cucker-Smale mechanism in financial markets
- A kinetic description for the herding behavior in financial market
- A particle model for the herding phenomena induced by dynamic market signals
- Uniqueness and well-ordering of emergent phase-locked states for the Kuramoto model with frustration and inertia
- Optimal control of a collective migration model
- Density-induced consensus protocol
- Emergent behaviors of the Cucker–Smale ensemble under attractive–repulsive couplings and Rayleigh frictions
- Application of flocking mechanism to the modeling of stochastic volatility
- A quest toward a mathematical theory of the dynamics of swarms
- Dynamics of a class of financial herding models with multi-groups
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