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

Martin Burger, Luis A. Caffarelli, Peter A. Markowich, Marie-Therese Wolfram

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

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.
Original languageEnglish (US)
Pages (from-to)1353-1361
Number of pages9
JournalCommunications in Mathematical Sciences
Volume12
Issue number7
DOIs
StatePublished - 2014

ASJC Scopus subject areas

  • Applied Mathematics
  • Mathematics(all)

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