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

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.

Submitted preprint