Abstract
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different trader populations, chartists and fundamentalists, which determine the price dynamics of the stock. The model has been inspired by the microscopic LuxMarchesi model (Lux and Marchesi (2000, 1999) [3,25]). The introduction of kinetic equations permits to study the asymptotic behavior of the investments and the price distributions and to characterize the regimes of lognormal behavior and the formation of power law tails.
| Original language | English |
|---|---|
| Pages (from-to) | 715-730 |
| Number of pages | 16 |
| Journal | Physica A: Statistical Mechanics and its Applications |
| Volume | 391 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1 Feb 2012 |
Keywords
- Behavioral finance
- Kinetic models
- Opinion formation
- Power laws
- Stock market
ASJC Scopus subject areas
- Statistics and Probability
- Condensed Matter Physics
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