A mathematical model for volatility flocking with a regime switching mechanism in a stock market
2015
We present a mathematical model for stock market volatility flocking. Our proposed model consists of geometric Brownian motions with time-varying volatilities coupled with Cucker–Smale (C–S) flocking and regime switching mechanisms. For all-to-all interactions, we assume that all assets' volatilities are coupled to each other with a constant interaction weight, and we show that the common volatility emerges asymptotically and discuss its financial applications. We also provide several numerical simulations and compare them to existing analytical results.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
41
References
24
Citations
NaN
KQI