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

Martin Burger; Luis A. Caffarelli; Peter A. Markowich; Marie-Therese Wolfram

doi:10.4310/CMS.2014.v12.n7.a10

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

Martin Burger, Luis A. Caffarelli, Peter A. Markowich, Marie-Therese Wolfram

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13 Scopus citations

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.

Original language	English (US)
Pages (from-to)	1353-1361
Number of pages	9
Journal	Communications in Mathematical Sciences
Volume	12
Issue number	7
DOIs	https://doi.org/10.4310/CMS.2014.v12.n7.a10
State	Published - 2014

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KAUST Repository Item: Exported on 2020-10-01

ASJC Scopus subject areas

Applied Mathematics
General Mathematics

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10.4310/CMS.2014.v12.n7.a10

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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 {\textcopyright} 2014 International Press.",

author = "Martin Burger and Caffarelli, {Luis A.} and Markowich, {Peter A.} and Marie-Therese Wolfram",

note = "KAUST Repository Item: Exported on 2020-10-01",

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doi = "10.4310/CMS.2014.v12.n7.a10",

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AU - Caffarelli, Luis A.

AU - Markowich, Peter A.

AU - Wolfram, Marie-Therese

N1 - KAUST Repository Item: Exported on 2020-10-01

PY - 2014

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N2 - 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.

AB - 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.

UR - http://hdl.handle.net/10754/563203

UR - http://arxiv.org/abs/arXiv:1312.1304v1

UR - http://www.scopus.com/inward/record.url?scp=84901463425&partnerID=8YFLogxK

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DO - 10.4310/CMS.2014.v12.n7.a10

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EP - 1361

JO - Communications in Mathematical Sciences

JF - Communications in Mathematical Sciences

IS - 7

ER -

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

Abstract

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