Exact time-dependent dynamics of discrete binary choice models

Holehouse, James; Moran, José

doi:10.2139/ssrn.4016363

SSRN Journal

2022

DOI: 10.2139/ssrn.4016363

|View full text |Cite

Exact time-dependent dynamics of discrete binary choice models

James Holehouse¹,

José Moran²

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2022

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

References 38 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

A Binary Decision Model and Fat Tails in Financial Market

Sano

2022

Applied Sciences

View full text Add to dashboard Cite

Binary decision models have been the subject of renewed research in recent years. In these models, agents follow a stochastic evolution where they must choose between two possible choices by taking into account the choices of their peers. Kirman explained the process of ant social herding using a simple model, and he conducted an interesting simulation. The fat-tail distribution in the security market is well known, but its causes have not been sufficiently clarified. The aim of this article is to clarify them by a very simple model. In this article, by establishing a simple security market model and by applying the model of Kirman, the fat tail observed for price fluctuations is reproduced. Recent research in neuroscience has shown that noise plays a positive roll and enables us to have a deeper understanding of a natural commonality between ants and traders. The beauty competition of Keynes is kept in mind, and it is shown that a cause of the fat tail is the balance between independence and interdependence of the economic agents. Using a natural computing algorithm called Kirman’s ant model, I conducted a time series analysis of finance that appears when simplifying the human “behavior of imitating others”. The results show that natural fat tails appear.

show abstract

A Binary Decision Model and Fat Tails in Financial Market

Sano

2022

Applied Sciences

View full text Add to dashboard Cite

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Exact time-dependent dynamics of discrete binary choice models

Cited by 1 publication

References 38 publications

A Binary Decision Model and Fat Tails in Financial Market

A Binary Decision Model and Fat Tails in Financial Market

Contact Info

Product

Resources

About