Microscopic and kinetic models in financial markets

  • Stephane Cordier
  • Dario Maldarella
  • Lorenzo Pareschi
  • Cyrille Piatecki
Part of the Modeling and Simulation in Science, Engineering and Technology book series (MSSET)


We review different microscopic and kinetic models of financial markets which have been developed by economists, physicists, and mathematicians in the last years. We first give a summary of the microscopic models and then introduce the corresponding kinetic equations. Our selective review outlines the main ingredients of some influential models of multiagent dynamics in financial markets like Levy, Levy, and Solomon (Economics Letters, 45, 1994) and Lux and Marchesi (International Journal of Theoretical and Applied Finance, 3, 2000). The introduction of kinetic equations permits to study the asymptotic behavior of the wealth and the price distributions and to characterize the regimes of lognormal behavior and the ones with power-law tails.


Kinetic Model Stock Price Planck Equation Excess Demand Future Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Stephane Cordier
    • 1
  • Dario Maldarella
    • 2
  • Lorenzo Pareschi
    • 2
  • Cyrille Piatecki
    • 3
  1. 1.Laboratoire MAPMO UMR 66128University of Orléans and CNRS, Fédération Denis PoissonOrléansFrance
  2. 2.Department of Mathematics and CMCSUniversity of FerraraFerraraItaly
  3. 3.Laboratoire d’Economie d’Orlans (LEO) UMR 6221University of Orléans and CNRSOrléansFrance

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