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- W3125367073 abstract "We derive a system of stochastic differential equations simulating the dynamics of the three agent groups with herding interaction. Proposed approach can be valuable in the modeling of the complex socio-economic systems with similar composition of the agents. We demonstrate how the sophisticated statistical features of the absolute return in the financial markets can be reproduced by extending the herding interaction of the agents and introducing the third agent state. As well we consider possible extension of proposed herding model introducing additional exogenous noise. Such consistent microscopic and macroscopic model precisely reproduces empirical power law statistics of the return in the financial markets." @default.
- W3125367073 created "2021-02-01" @default.
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- W3125367073 date "2013-05-01" @default.
- W3125367073 modified "2023-10-16" @default.
- W3125367073 title "Fluctuation analysis of the three agent groups herding model" @default.
- W3125367073 hasPublicationYear "2013" @default.
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