A Dynamical Thermostat Approach To Financial Asset Price Dynamics
Condensed Matter
2009-10-31 v1
Abstract
A dynamical price formation model for financial assets is presented. It aims to capture the essence of speculative trading where mispricings of assets are used to make profits. It is shown that together with the incorporation of the concept of risk aversion of agents the model is able to reproduce several key characteristics of financial price series. The approach is contrasted to the conventional view of price formation in financial economics.
Keywords
Cite
@article{arxiv.cond-mat/0011286,
title = {A Dynamical Thermostat Approach To Financial Asset Price Dynamics},
author = {Stefan Thurner},
journal= {arXiv preprint arXiv:cond-mat/0011286},
year = {2009}
}
Comments
contribution to the 6th Granada Seminar 2000: Modeling Complex Systems, 10 pages, eps figures