Price dynamics in financial markets: a kinetic approach

Details Price dynamics in financial markets: a kinetic approach Price dynamics in financial markets: a kinetic approach

2010-07-09

arxiv.org/abs/1007.1631v1

Economy

Quantitative Finance

Trading and Market Microstructure

Scientific paper

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.

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