Kinetic models for socio-economic dynamics of speculative markets
| Autor: | Dario Maldarella, Lorenzo Pareschi |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
Statistics and Probability
Quantitative Finance - Trading and Market Microstructure Financial economics Financial market Condensed Matter Physics Behavioral economics Power law Trading and Market Microstructure (q-fin.TR) FOS: Economics and business Mathematics - Analysis of PDEs Kinetic equations FOS: Mathematics Econometrics Economics Stock market Stock (geology) Analysis of PDEs (math.AP) Opinion formation |
| Zdroj: | Physica A: Statistical Mechanics and its Applications. 391:715-730 |
| ISSN: | 0378-4371 |
| DOI: | 10.1016/j.physa.2011.08.013 |
| Popis: | In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different trader populations, chartists and fundamentalists, which determine the price dynamics of the stock. The model has been inspired by the microscopic Lux–Marchesi model (Lux and Marchesi (2000, 1999) [3] , [25] ). The introduction of kinetic equations permits to study the asymptotic behavior of the investments and the price distributions and to characterize the regimes of lognormal behavior and the formation of power law tails. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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