  We derive a system of stochastic differential equations simulating the
dynamics of the three agent groups with herding interaction. Proposed approach
can be valuable in the modeling of the complex socio-economic systems with
similar composition of the agents. We demonstrate how the sophisticated
statistical features of the absolute return in the financial markets can be
reproduced by extending the herding interaction of the agents and introducing
the third agent state. As well we consider possible extension of proposed
herding model introducing additional exogenous noise. Such consistent
microscopic and macroscopic model precisely reproduces empirical power law
statistics of the return in the financial markets.
