Mesoscopic modelling of financial markets
DOI10.1007/s10955-008-9667-zzbMath1168.82019arXiv1009.2743MaRDI QIDQ1012703
Lorenzo Pareschi, Stephane Cordier, Cyrille Piatecki
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
self-similarity; wealth distribution; kinetic equation; stock market; financial markets; Fokker-Planck approximation; mesoscopic modelling; microscopic modelling; power-law tails
62P20: Applications of statistics to economics
91B80: Applications of statistical and quantum mechanics to economics (econophysics)
91B62: Economic growth models
82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics
91G10: Portfolio theory
91G99: Actuarial science and mathematical finance
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