3 citations · 4 across the 5 of their papers we have counts for
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q-fin.TR2017★ 3 cited
Mean Field Limit of a Behavioral Financial Market Model
Torsten Trimborn, Martin Frank, Stephan Martin
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts…
q-fin.PM2017
Portfolio Optimization and Model Predictive Control: A Kinetic Approach
Torsten Trimborn, Lorenzo Pareschi, Martin Frank
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a…