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

Burger M, Caffarelli L, Markowich PA, Wolfram MT (2014)


Publication Language: English

Publication Type: Journal article

Publication year: 2014

Journal

Book Volume: 12

Pages Range: 1353-1361

Issue: 7

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

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.

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APA:

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, 1353-1361. https://dx.doi.org/10.4310/CMS.2014.v12.n7.a10

MLA:

Burger, Martin, et al. "On the asymptotic behavior of a boltzmann-type price formation model." Communications in Mathematical Sciences 12 (2014): 1353-1361.

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