Kinetic models for socio-economic dynamics of speculative markets

D. Maldarella and L. Pareschi

Papers from arXiv.org

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 traders populations, chartists and fundamentalists, which determine the price dynamic of the stock. The model has been inspired by the microscopic Lux-Marchesi model (T.Lux, M.Marchesi, Nature 397, (1999), 498--500). 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.

Date: 2010-09
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1009.5499 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1009.5499

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().