IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/hal-00288167.html
   My bibliography  Save this paper

Mesoscopic modelling of financial markets

Author

Listed:
  • Stéphane Cordier

    (MAPMO - Mathématiques - Analyse, Probabilités, Modélisation - Orléans - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • Lorenzo Pareschi

    (Center for Modelling Computing and Statistics, c/o Department of Economy, Institutions and Territory - UniFE - Università degli Studi di Ferrara = University of Ferrara)

  • Cyrille Piatecki

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Stéphane Cordier & Lorenzo Pareschi & Cyrille Piatecki, 2008. "Mesoscopic modelling of financial markets," Working Papers hal-00288167, HAL.
    • Handle: RePEc:hal:wpaper:hal-00288167
    Note: View the original document on HAL open archive server: https://hal.science/hal-00288167
    as

    Download full text from publisher

    File URL: https://hal.science/hal-00288167/document
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00288167. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.