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

Dove

Dipartimento di Matematica e Informatica

Persona di riferimento

Aggiungi l'evento al calendario

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
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