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Modeling of Herding and Wealth Distribution in Large Markets

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Novel Methods in Computational Finance

Part of the book series: Mathematics in Industry ((TECMI,volume 25))

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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.

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Author information

Authors and Affiliations

  1. Institute for Analysis and Scientific Computing, Vienna University of Technology, Wiedner Hauptstr. 8-10, 1040, Wien, Austria

    Ansgar Jüngel

  2. Centre de Recherche Inria de Paris, REO project-team, 2 rue Simone IFF, 75012, Paris, France

    Lara Trussardi

Authors
  1. Ansgar Jüngel
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  2. Lara Trussardi
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Corresponding author

Correspondence to Ansgar Jüngel .

Editor information

Editors and Affiliations

  1. Lehrstuhl für Angewandte Mathematik/Numerische Analysis, Bergische Universität Wuppertal, Wuppertal, Germany

    Matthias Ehrhardt

  2. Lehrstuhl für Angewandte Mathematik/Numerische Analysis, Bergische Universität Wuppertal, Wuppertal, Germany

    Michael Günther

  3. Lehrstuhl für Angewandte Mathematik/Numerische Analysis, Bergische Universität Wuppertal, Wuppertal, Germany

    E. Jan W. ter Maten

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Jüngel, A., Trussardi, L. (2017). Modeling of Herding and Wealth Distribution in Large Markets. In: Ehrhardt, M., Günther, M., ter Maten, E. (eds) Novel Methods in Computational Finance. Mathematics in Industry(), vol 25. Springer, Cham. https://doi.org/10.1007/978-3-319-61282-9_2

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