On the asymptotic behavior of a boltzmann-type price formation model

Handle URI:
http://hdl.handle.net/10754/563203
Title:
On the asymptotic behavior of a boltzmann-type price formation model
Authors:
Burger, Martin; Caffarelli, Luis A.; Markowich, Peter A. ( 0000-0002-3704-1821 ) ; Wolfram, Marie-Therese
Abstract:
In this paper we study the asymptotic behavior of a Boltzmann-type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transaction costs. This observation motivates the study of the limit as the number of transactions k tends to infinity, the transaction cost a to zero and ka=const. Furthermore we illustrate the price dynamics with numerical simulations © 2014 International Press.
KAUST Department:
Applied Mathematics and Computational Science Program; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Publisher:
International Press of Boston
Journal:
Communications in Mathematical Sciences
Issue Date:
2014
DOI:
10.4310/CMS.2014.v12.n7.a10
ARXIV:
arXiv:1312.1304
Type:
Article
ISSN:
15396746
Additional Links:
http://arxiv.org/abs/arXiv:1312.1304v1
Appears in Collections:
Articles; Applied Mathematics and Computational Science Program; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

Full metadata record

DC FieldValue Language
dc.contributor.authorBurger, Martinen
dc.contributor.authorCaffarelli, Luis A.en
dc.contributor.authorMarkowich, Peter A.en
dc.contributor.authorWolfram, Marie-Thereseen
dc.date.accessioned2015-08-03T11:38:05Zen
dc.date.available2015-08-03T11:38:05Zen
dc.date.issued2014en
dc.identifier.issn15396746en
dc.identifier.doi10.4310/CMS.2014.v12.n7.a10en
dc.identifier.urihttp://hdl.handle.net/10754/563203en
dc.description.abstractIn this paper we study the asymptotic behavior of a Boltzmann-type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transaction costs. This observation motivates the study of the limit as the number of transactions k tends to infinity, the transaction cost a to zero and ka=const. Furthermore we illustrate the price dynamics with numerical simulations © 2014 International Press.en
dc.publisherInternational Press of Bostonen
dc.relation.urlhttp://arxiv.org/abs/arXiv:1312.1304v1en
dc.subjectAsymptotic behavioren
dc.subjectBoltzmann-type equationen
dc.subjectPrice formationen
dc.titleOn the asymptotic behavior of a boltzmann-type price formation modelen
dc.typeArticleen
dc.contributor.departmentApplied Mathematics and Computational Science Programen
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Divisionen
dc.identifier.journalCommunications in Mathematical Sciencesen
dc.contributor.institutionInstitute for Computational and Applied Mathematics, Einsteinstrasse 62, 48149 Münster, Germanyen
dc.contributor.institutionUniversity of Texas at Austin, 1 University Station, C120, Austin, TX 78712-1082, United Statesen
dc.identifier.arxividarXiv:1312.1304en
kaust.authorMarkowich, Peter A.en
kaust.authorWolfram, Marie-Thereseen
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