Herd Behavior and Financial Crashes: An Interacting Particle System Approach

<div>The figure shows a comparison between the empirical distribution of the log returns, considering <svg height="8.55521pt" id="M149" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 27.5889 8.55521" width="27.5889pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M471 456L444 459C426 433 414 430 388 430C324 430 270 434 216 434C103 434 51 374 23 338L43 317C96 366 146 380 221 375L154 109C149 86 147 68 147 52C147 4 168 -12 197 -12C240 -12 291 25 334 71L320 96C295 75 268 58 252 58C238 58 227 79 238 138C251 211 272 296 292 372C310 372 332 368 350 368C391 368 421 369 434 371C444 388 455 413 471 456Z" id="g113-241"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="483" vert-adv-y="483"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,9.914,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z" id="g117-34"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="587" vert-adv-y="587"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,21.177,0)"><path d="M249 635C141 635 70 555 70 471C70 401 114 353 179 316C143 294 106 267 90 252C68 231 45 202 45 157C45 50 130 -12 237 -12C322 -12 435 52 435 169C435 256 372 304 303 343C349 374 375 398 383 407C401 429 411 458 411 487C411 569 344 635 249 635ZM238 603C285 603 337 567 337 482C337 422 310 385 276 358C205 393 145 426 145 500C145 552 179 603 238 603ZM248 20C183 20 125 70 125 163C125 218 158 268 206 300C284 261 355 217 355 143C355 66 308 20 248 20Z" id="g113-57"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="480" vert-adv-y="480"></glyph.data></g></svg> (<svg height="6.01072pt" id="M150" style="vertical-align:-0.04980993pt" version="1.1" viewbox="-0.0498162 -5.96091 7.75925 6.01072" width="7.75925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M471 153C471 170 463 194 452 212C400 220 373 229 322 255C373 281 400 290 452 298C463 316 471 339 471 357C456 366 431 371 410 370C377 329 356 310 308 279C311 336 317 364 336 413C326 432 310 451 294 459C279 451 262 432 252 413C271 364 277 336 280 279C232 310 211 329 178 370C157 371 132 367 117 357C117 340 125 316 136 298C188 290 215 281 266 255C215 229 188 220 136 212C125 194 117 171 117 153C132 144 157 139 178 140C211 181 232 200 280 231C277 174 271 146 252 97C262 78 278 59 294 51C309 59 326 78 336 97C317 146 311 174 308 231C356 200 377 181 410 140C431 139 456 143 471 153Z" id="g113-43"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="587" vert-adv-y="587"></glyph.data></g></svg>-line), and the Gaussian standard distribution.</div>

Journal of Mathematics

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Figure 3

Figure 3: Herd Behavior and Financial Crashes: An Interacting Particle System Approach 