Mesoscopic modelling of financial markets - Archive ouverte HAL
Preprints, Working Papers, ... Year : 2008

Mesoscopic modelling of financial markets

Abstract

We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investments alternatives: a stock and a bond. The model is derived starting from the Levy-Levy-Solomon microscopic model using the methods of kinetic theory and consists of a linear Boltzmann equation for the wealth distribution of the agents coupled with an equation for the price of the stock. From this model under a suitable scaling we derive a Fokker-Planck equation and show that the equation admits a self-similar lognormal behavior. Several numerical examples are also reported to validate our analysis.
Fichier principal
Vignette du fichier
mesofin.pdf (251.73 Ko) Télécharger le fichier
Origin Files produced by the author(s)
Loading...

Dates and versions

hal-00288167 , version 1 (15-06-2008)

Identifiers

  • HAL Id : hal-00288167 , version 1

Cite

Stéphane Cordier, Lorenzo Pareschi, Cyrille Piatecki. Mesoscopic modelling of financial markets. 2008. ⟨hal-00288167⟩
309 View
382 Download

Share

More