Price dynamics in financial markets: a kinetic approach

Dario Maldarella and Lorenzo Pareschi

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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.

Date: 2010-07
New Economics Papers: this item is included in nep-mic
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1007.1631

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