Mesoscopic modelling of financial markets

DOI10.1007/s10955-008-9667-zzbMath1168.82019arXiv1009.2743OpenAlexW3102408667MaRDI QIDQ1012703

Cyrille Piatecki, Stephane Cordier, Lorenzo Pareschi

Publication date: 22 April 2009

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.2743

zbMATH Keywords

self-similaritywealth distributionkinetic equationstock marketfinancial marketsFokker-Planck approximationmesoscopic modellingmicroscopic modellingpower-law tails

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic growth models (91B62) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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