On the asymptotic behavior of a boltzmann-type price formation model
KAUST DepartmentApplied Mathematics and Computational Science Program
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Preprint Posting Date2013-12-04
Permanent link to this recordhttp://hdl.handle.net/10754/563203
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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.
PublisherInternational Press of Boston