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Derivation of one-dimensional hydrodynamic model for stock price evolution

Author

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  • Vamoş, C
  • Suciu, N
  • Blaj, W

Abstract

It was proved that balance equations for systems with corpuscular structure can be derived if a kinematic description by piece-wise analytic functions is available (Vamoş et al., Physica A 227 (1996) 81). This article presents a rigorous derivation of an one-dimensional hydrodynamic model for the stock price evolution. The kinematic description is given by a set of time functions describing the evolution of the stock price.

Suggested Citation

  • Vamoş, C & Suciu, N & Blaj, W, 2000. "Derivation of one-dimensional hydrodynamic model for stock price evolution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 461-467.
    • Handle: RePEc:eee:phsmap:v:287:y:2000:i:3:p:461-467
    DOI: 10.1016/S0378-4371(00)00385-X
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