Microscopic and kinetic models in financial markets

Stephane Cordier; Dario Maldarella; Lorenzo Pareschi; Cyrille Piatecki

doi:10.1007/978-0-8176-4946-3_3

Microscopic and kinetic models in financial markets

Stephane Cordier^*
, Dario Maldarella
, Lorenzo Pareschi
, Cyrille Piatecki

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Chapter

4 Citations (Scopus)

Abstract

We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.

Original language	English
Title of host publication	Mathematical Modeling of Collective Behavior in Socio-Economic and Life Sciences
Publisher	Springer
Pages	51-80
Number of pages	30
ISBN (Electronic)	9780817649463
ISBN (Print)	9780817649456
DOIs	https://doi.org/10.1007/978-0-8176-4946-3_3
Publication status	Published - 2010

Publication series

Name	Modeling and Simulation in Science, Engineering and Technology
Volume	51
ISSN (Print)	2164-3679
ISSN (Electronic)	2164-3725

ASJC Scopus subject areas

Modelling and Simulation
General Engineering
Fluid Flow and Transfer Processes
Computational Mathematics

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10.1007/978-0-8176-4946-3_3

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abstract = "We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.",

author = "Stephane Cordier and Dario Maldarella and Lorenzo Pareschi and Cyrille Piatecki",

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Microscopic and kinetic models in financial markets. / Cordier, Stephane; Maldarella, Dario; Pareschi, Lorenzo et al.
Mathematical Modeling of Collective Behavior in Socio-Economic and Life Sciences. Springer, 2010. p. 51-80 (Modeling and Simulation in Science, Engineering and Technology; Vol. 51).

Research output: Chapter in Book/Report/Conference proceeding › Chapter

TY - CHAP

T1 - Microscopic and kinetic models in financial markets

AU - Cordier, Stephane

AU - Maldarella, Dario

AU - Pareschi, Lorenzo

AU - Piatecki, Cyrille

PY - 2010

Y1 - 2010

N2 - We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.

AB - We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.

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DO - 10.1007/978-0-8176-4946-3_3

M3 - Chapter

AN - SCOPUS:80455143378

SN - 9780817649456

T3 - Modeling and Simulation in Science, Engineering and Technology

SP - 51

EP - 80

BT - Mathematical Modeling of Collective Behavior in Socio-Economic and Life Sciences

PB - Springer

ER -

Microscopic and kinetic models in financial markets

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