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Price dynamics in financial markets: a kinetic approach

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  • Dario Maldarella
  • Lorenzo Pareschi

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.

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  • Dario Maldarella & Lorenzo Pareschi, 2010. "Price dynamics in financial markets: a kinetic approach," Papers 1007.1631, arXiv.org.
    • Handle: RePEc:arx:papers:1007.1631
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    File URL: http://arxiv.org/pdf/1007.1631
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    Cited by:

    1. Maldarella, Dario & Pareschi, Lorenzo, 2012. "Kinetic models for socio-economic dynamics of speculative markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 715-730.

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