A nonlinear marketron model with a memory variable for past money flows produces metastable Good, Bad, and Ugly market regimes and is calibrated to S&P500 data to match return moments and default intensity.
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Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets
A nonlinear marketron model with a memory variable for past money flows produces metastable Good, Bad, and Ugly market regimes and is calibrated to S&P500 data to match return moments and default intensity.