# American Institute of Mathematical Sciences

March  2013, 18(2): 403-415. doi: 10.3934/dcdsb.2013.18.403

## A mesoscopic stock market model with hysteretic agents

 1 Department of Mathematics and Statistics, University of Strathclyde, 26 Richmond Street, Glasgow G1 1XH, United Kingdom 2 Department of Mathematical Sciences, George Mason University, 4400 University Drive, Fairfax, VA 22030, United States 3 Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE

Received  October 2011 Revised  June 2012 Published  November 2012

Following the approach of [22], we derive a system of Fokker-Planck equations to model a stock-market in which hysteretic agents can take long and short positions. We show numerically that the resulting mesoscopic model has rich behaviour, being hysteretic at the mesoscale and displaying bubbles and volatility clustering in particular.
Citation: Michael Grinfeld, Harbir Lamba, Rod Cross. A mesoscopic stock market model with hysteretic agents. Discrete & Continuous Dynamical Systems - B, 2013, 18 (2) : 403-415. doi: 10.3934/dcdsb.2013.18.403
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##### References:
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