Price dynamics in financial markets: a kinetic approach
Trading and Market Microstructure
2010-07-12 v1 Statistical Mechanics
Statistical Finance
Abstract
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of agents' heterogeneity in emerging power laws for price distributions is emphasized and discussed.
Keywords
Cite
@article{arxiv.1007.1631,
title = {Price dynamics in financial markets: a kinetic approach},
author = {Dario Maldarella and Lorenzo Pareschi},
journal= {arXiv preprint arXiv:1007.1631},
year = {2010}
}