Microscopic and kinetic models in financial markets

Stephane Cordier; Dario Maldarella; Lorenzo Pareschi; Cyrille Piatecki

doi:10.1007/978-0-8176-4946-3_3

Microscopic and kinetic models in financial markets

Stephane Cordier, Dario Maldarella, Lorenzo Pareschi, Cyrille Piatecki

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

4 Scopus citations

Abstract

We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.

Original language	English
Title of host publication	Modeling and Simulation in Science, Engineering and Technology
Publisher	Springer Basel
Pages	51-80
Number of pages	30
DOIs	https://doi.org/10.1007/978-0-8176-4946-3_3
State	Published - 2010
Externally published	Yes

Publication series

Name	Modeling and Simulation in Science, Engineering and Technology
Volume	51
ISSN (Print)	2164-3679
ISSN (Electronic)	2164-3725

Access to Document

10.1007/978-0-8176-4946-3_3

Cite this

@inbook{b163972ffbfb4c23adff33c11ca0bc4b,

title = "Microscopic and kinetic models in financial markets",

abstract = "We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.",

author = "Stephane Cordier and Dario Maldarella and Lorenzo Pareschi and Cyrille Piatecki",

note = "Publisher Copyright: {\textcopyright} Springer Science+Business Media, LLC 2010.",

year = "2010",

doi = "10.1007/978-0-8176-4946-3_3",

language = "English",

series = "Modeling and Simulation in Science, Engineering and Technology",

publisher = "Springer Basel",

pages = "51--80",

booktitle = "Modeling and Simulation in Science, Engineering and Technology",

}

Microscopic and kinetic models in financial markets. / Cordier, Stephane; Maldarella, Dario; Pareschi, Lorenzo et al.
Modeling and Simulation in Science, Engineering and Technology. Springer Basel, 2010. p. 51-80 (Modeling and Simulation in Science, Engineering and Technology; Vol. 51).

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

TY - CHAP

T1 - Microscopic and kinetic models in financial markets

AU - Cordier, Stephane

AU - Maldarella, Dario

AU - Pareschi, Lorenzo

AU - Piatecki, Cyrille

PY - 2010

Y1 - 2010

N2 - We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.

AB - We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.

UR - http://www.scopus.com/inward/record.url?scp=80455143378&partnerID=8YFLogxK

U2 - 10.1007/978-0-8176-4946-3_3

DO - 10.1007/978-0-8176-4946-3_3

M3 - Chapter

AN - SCOPUS:80455143378

T3 - Modeling and Simulation in Science, Engineering and Technology

SP - 51

EP - 80

BT - Modeling and Simulation in Science, Engineering and Technology

PB - Springer Basel

ER -

Microscopic and kinetic models in financial markets

Abstract

Publication series

Access to Document

Other files and links

Fingerprint

Cite this