Kinetic models for socio-economic dynamics of speculative markets

Dario Maldarella; Lorenzo Pareschi

doi:10.1016/j.physa.2011.08.013

Kinetic models for socio-economic dynamics of speculative markets

Dario Maldarella, Lorenzo Pareschi

University of Ferrara

Research output: Contribution to journal › Article › peer-review

57 Scopus citations

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 LuxMarchesi model (Lux and Marchesi (2000, 1999) [3,25]). 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.

Original language	English
Pages (from-to)	715-730
Number of pages	16
Journal	Physica A: Statistical Mechanics and its Applications
Volume	391
Issue number	3
DOIs	https://doi.org/10.1016/j.physa.2011.08.013
State	Published - 1 Feb 2012
Externally published	Yes

Keywords

Behavioral finance
Kinetic models
Opinion formation
Power laws
Stock market

Access to Document

10.1016/j.physa.2011.08.013

Cite this

@article{ddb19814aebc4ca9ad835f838ab2d20b,

title = "Kinetic models for socio-economic dynamics of speculative markets",

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 LuxMarchesi model (Lux and Marchesi (2000, 1999) [3,25]). 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.",

keywords = "Behavioral finance, Kinetic models, Opinion formation, Power laws, Stock market",

author = "Dario Maldarella and Lorenzo Pareschi",

year = "2012",

month = feb,

day = "1",

doi = "10.1016/j.physa.2011.08.013",

language = "English",

volume = "391",

pages = "715--730",

journal = "Physica A: Statistical Mechanics and its Applications",

issn = "0378-4371",

publisher = "Elsevier B.V.",

number = "3",

}

TY - JOUR

T1 - Kinetic models for socio-economic dynamics of speculative markets

AU - Maldarella, Dario

AU - Pareschi, Lorenzo

PY - 2012/2/1

Y1 - 2012/2/1

N2 - 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 LuxMarchesi model (Lux and Marchesi (2000, 1999) [3,25]). 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.

AB - 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 LuxMarchesi model (Lux and Marchesi (2000, 1999) [3,25]). 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.

KW - Behavioral finance

KW - Kinetic models

KW - Opinion formation

KW - Power laws

KW - Stock market

UR - http://www.scopus.com/inward/record.url?scp=80455160066&partnerID=8YFLogxK

U2 - 10.1016/j.physa.2011.08.013

DO - 10.1016/j.physa.2011.08.013

M3 - Article

AN - SCOPUS:80455160066

SN - 0378-4371

VL - 391

SP - 715

EP - 730

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 3

ER -

Kinetic models for socio-economic dynamics of speculative markets

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this