Actuarial and Financial Mathematics
Tag: Stock Return, Financial Mathematics, Complex Science, Agent-Based Model,
Herd Behavior
Re-Simulating Agent-Based Model for Herd Behavior in Financial Market
Pasin Marupanthorn
Herd behavior is a form of convergent social behavior. Stock price is determined by forces of bit and ask in orders. The question is how herd behavior effects on the return from stock investment. In this work, we re-simulate the return of stocks by assuming appearance of herd behavior in the system by agent-based approach.
Status: Completed, 2018
Tag: Stock Return, Financial Mathematics, Complex Science, Agent-Based Model,
Herd Behavior
Markov Model for Bonus-Malus System
Pasin Marupanthorn
Herd behavior is a form of convergent social behavior. Stock price is determined by forces of bit and ask in orders. The question is how herd behavior effects on the return from stock investment. In this work, we re-simulate the return of stocks by assuming appearance of herd behavior in the system by agent-based approach.
Status: Completed, 2018