On the asymptotic behavior of a boltzmann-type price formation model
Type
ArticleKAUST Department
Applied Mathematics and Computational Science ProgramComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Date
2014Preprint Posting Date
2013-12-04Permanent link to this record
http://hdl.handle.net/10754/563203
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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.Citation
Burger, M., Caffarelli, L., Markowich, P. A., & Wolfram, M.-T. (2014). On the asymptotic behavior of a Boltzmann-type price formation model. Communications in Mathematical Sciences, 12(7), 1353–1361. doi:10.4310/cms.2014.v12.n7.a10Publisher
International Press of BostonarXiv
1312.1304Additional Links
http://arxiv.org/abs/arXiv:1312.1304v1ae974a485f413a2113503eed53cd6c53
10.4310/CMS.2014.v12.n7.a10