The Transition from Brownian Motion to Boom-and-Bust Dynamics in   Financial and Economic Systems
  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. 
Harbir Lamba
q-fin.TR