Mean Field Modeling of a Financial Market (T. Trimborn)
seminario di Matematica Finanziaria
Dettagli dell'evento
Quando
16/09/2015
dalle 15:00 alle 16:00
dalle 15:00 alle 16:00
Dove
Dipartimento di Matematica e Informatica
Persona di riferimento
Cari colleghi,
mercoledì 16 settembre alle ore 15 in un aula del Dipartimento il Dott. Tosten Trimborn (Aachen) terrà il seguente seminario:
Mean Field Modeling of a Financial Market
Abstract: Many classical financial-market models fail to reproduce stock price anomalies, such as fat tails in asset returns. Modern econophysical models indicate that irrational behavior of investors might be a reason for these price anomalies. Mean field modeling seems to be a promising path describing such models on a mesoscopic scale and investigating the origins of these price anomalies. In this talk I will introduce the econophysical market model of Cross et al. (Physica A, 2005) and will present the corresponding mean field model.
Cordialmente,
Lorenzo
