Modeling of Herding and Wealth Distribution in Large Markets

Jüngel, Ansgar; Trussardi, Lara

Modeling of Herding and Wealth Distribution in Large Markets

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Date

2017

Authors

Jüngel, Ansgar

Trussardi, Lara

Publication type

Contribution to a collection

Publication status

Published

Published in

Novel Methods in Computational Finance / Ehrhardt, Matthias; Günther, Michael; ter Maten, E. Jan W. (ed.). - Cham : Springer International Publishing, 2017. - (Mathematics in Industry ; 25). - pp. 17-29. - ISBN 978-3-319-87040-3

Abstract

The dynamics of the number of participants in a large market is described by nonlinear partial differential equations of kinetic and diffusive type. The results on the modeling, analysis, and numerical simulation of three market models are briefly reviewed. The interplay of the agents with external sources, herding phenomena, and irrationality of the individuals as well as the exchange of knowledge and wealth is explored mathematically. The focus lies on the mathematical understanding of the differential equations rather than on the modeling of real economic situations, aiming at identifying models which are able to produce the desired effects.

Subject (DDC)

510 Mathematics

Cite This

ISO 690

JÜNGEL, Ansgar, Lara TRUSSARDI, 2017. Modeling of Herding and Wealth Distribution in Large Markets. In: EHRHARDT, Matthias, ed., Michael GÜNTHER, ed., E. Jan W. TER MATEN, ed.. Novel Methods in Computational Finance. Cham:Springer International Publishing, pp. 17-29. ISBN 978-3-319-87040-3. Available under: doi: 10.1007/978-3-319-61282-9_2

BibTex

@incollection{Jungel2017Model-55635,
  year={2017},
  doi={10.1007/978-3-319-61282-9_2},
  title={Modeling of Herding and Wealth Distribution in Large Markets},
  number={25},
  isbn={978-3-319-87040-3},
  publisher={Springer International Publishing},
  address={Cham},
  series={Mathematics in Industry},
  booktitle={Novel Methods in Computational Finance},
  pages={17--29},
  editor={Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W.},
  author={Jüngel, Ansgar and Trussardi, Lara}
}

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