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

DOI10.4310/CMS.2014.V12.N7.A10MaRDI QIDQ484741zbMATHFDO

Authors Martin Burger, M-T Wolfram, Luis Caffarelli, Peter Alexander Markowich

Publication date 7 January 2015

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1304

zbMATH Keywords

asymptotic behaviorprice formationBoltzmann-type equation

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Asymptotic behavior of solutions to PDEs (35B40) Initial-boundary value problems for second-order parabolic equations (35K20) Microeconomic theory (price theory and economic markets) (91B24) Trade models (91B60)

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 transactions 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.

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