Dario Maldarella's research while affiliated with University of Ferrara and other places
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Publications (3)
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the stock. The model has been inspired by the microscopic Lux-Marchesi model (T.Lux, M.Marchesi, Nature 397, (1999),...
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of agents' heterogeneity in emerging power laws for price distributions is emphasized and discussed.
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...
Citations
... On the other hand, kinetic models characterized by systems of partial differential equations (PDEs), recently introduced and studied in the social sciences, have shown the ability to accurately describe complex social phenomena such as opinion formation among individuals, the creation of wealth distributions, the emergence of contacts on social networks [7,7,36,55,58,63]. See for instance the recent monographs and collections [91,95]. ...
![[object Object]](https://i1.rgstatic.net/ii/profile.image/446349477978113-1483429416188_Q64/Stephane-Cordier-3.jpg)
![[object Object]](https://i1.rgstatic.net/ii/profile.image/685545797726210-1540458263749_Q64/Lorenzo-Pareschi.jpg)
... collision kernels on the wealth distribution through the kinetic theory of rarefied gases. The kinetic theory is now widely utilized to examine various socio-economic problems, such as opinion formation [1,19,40], goods exchange [9,41], financial markets [13,32,43], and other problems [3,5]. ...
... The function Φ plays the role of the value function in the prospect theory of Kahneman and Tversky [74,75]. See also [36,66,67,95] for a related use of the value function in the dynamics of investment propensity. The main hypothesis on which this function is built is that, in relationship with the mean value , ∈ { , , }, it is considered normally easier to increase the value of (individuals look for larger networks) than to decrease it (people maintain as much connections as possible). ...
