Modeling a large population of traders : Mimesis and stability

@inproceedings{Omurtag2003ModelingAL,
  title={Modeling a large population of traders : Mimesis and stability},
  author={Ahmet Omurtag and Lawrence Sirovich},
  year={2003}
}
We introduce a method of accurately and efficiently modeling a large population of participants in a financial market. Each participant is modeled as having an internal preference state affected by the continual arrival of exogenous information and by the behavior of others. In order to describe a community of traders, we introduce a population equation that is derived rigorously from the underlying single-agent model. The population equation is used to investigate collective behavior with… CONTINUE READING

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