Derivation of one-dimensional hydrodynamic model for stock price evolution

C Vamoş, N Suciu and W Blaj

Physica A: Statistical Mechanics and its Applications, 2000, vol. 287, issue 3, 461-467

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.

Keywords: Econophysics; Statistical mechanics; Hydrodynamics (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:287:y:2000:i:3:p:461-467

DOI: 10.1016/S0378-4371(00)00385-X

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