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 Lux–Marchesi model (Lux and Marchesi (2000, 1999) and ). 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.

Kinetic models for socio-economic dynamics of speculative markets

MALDARELLA, Dario;PARESCHI, Lorenzo
2012

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 Lux–Marchesi model (Lux and Marchesi (2000, 1999) and ). 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.
2012
Maldarella, Dario; Pareschi, Lorenzo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11392/1533436
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