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.
Authors with CRIS profile
Involved external institutions
University of Texas at Austin
United States (USA) (US)
King Abdullah University of Science and Technology (KAUST) / جامعة الملك عبد الله للعلوم و التقنية
Saudi Arabia (SA)
Westfälische Wilhelms-Universität (WWU) Münster
Germany (DE)
United States (USA) (US)
King Abdullah University of Science and Technology (KAUST) / جامعة الملك عبد الله للعلوم و التقنية
Saudi Arabia (SA)
Westfälische Wilhelms-Universität (WWU) Münster
Germany (DE)
How to cite
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://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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