Berlin 2005 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 12: Macro and Micro Economic Models

AKSOE 12.3: Vortrag

Dienstag, 8. März 2005, 17:30–18:00, TU P-N203

Herd Behaviour equal to Traffic Jams?: New insides in complex economic interaction with Many-Particle-Physics and Wavelet Theory — •Bodo Herzog — Lichtenhaidestr.11; D-96052 Bamberg

Since Econphysics starts, new theories and models have been implemented in explaining pure economic phenomenon. The main focus was to learn something new and understand collective interactions in economic systems. One example is herd behaviour in economics that have a corresponding equivalent in physics (traffic jams). A wonderful by-product for the economic profession has been the emergence of a new research topic. But the models from physics does not fit the economic situation one to one. In the following paper we examine the phenomenon of herding behaviour in financial markets and try to build a new model. In the tradition of ’Many-Particle-Physics’, particularly ’Traffic-Models’, we explore in our new model herding behaviour in financial markets from an economic perspective. Moreover we propose an identification of herding behaviour in financial markets with wavelet theory. That approach helps us to show when herding behaviour starts. The current development in Econphysics helps to close the gap between natural and social systems. Conclusions from traffic models are relevant for the functionality, stability, reliability, and efficiency of societies, organizations etc. The theoretical understanding of traffic dynamics is a good starting-point for studying elementary human interactions under experimental conditions but we must go beyond that first step.