On the asymptotic behavior of a Boltzmann-type price formation model
Analysis of PDEs
2013-12-05 v1
Abstract
In this paper we study the asymptotic behavior of a Boltzmann type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transactions costs. This observation motivates the study of the limit as the number of transactions tends to infinity, the transaction cost to zero and . Furthermore we illustrate the price dynamics with numerical simulations.
Keywords
Cite
@article{arxiv.1312.1304,
title = {On the asymptotic behavior of a Boltzmann-type price formation model},
author = {Martin Burger and Luis Caffarelli and Peter A. Markowich and Marie-Therese Wolfram},
journal= {arXiv preprint arXiv:1312.1304},
year = {2013}
}
Comments
Submitted preprint