金融经济系统从布朗运动到繁荣-萧条动力学的转变
The Transition from Brownian Motion to Boom-and-Bust Dynamics in Financial and Economic Systems
摘要：
总量变量的准均衡模型在金融学和经济学中被广泛使用。这种模型的有效性关键取决于假设系统的参与者行为独立，并在马尔可夫的方式。我们提出了一个简化的市场模型，以证明代理之间的羊群效应可以导致过渡到繁荣和萧条的动态在现实的参数值。该模型也可以看作是一个新的随机粒子系统的开关和再注入。
英文摘要：
Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian fashion. We present a simplified market model to demonstrate that herding effects between agents can cause a transition to boom-and-bust dynamics at realistic parameter values. The model can also be viewed as a novel stochastic particle system with switching and reinjection.
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