Gas-kinetic theory and Boltzmann equation of share price within an equilibrium market hypothesis and ad hoc strategy

被引：13

作者：

Ausloos, M ^{[1
]}

机构：

[1] Univ Liege, Inst Phys B5, GRASP, B-4000 Liege, Belgium

[2] Univ Liege, Inst Phys B5, SUPRAS, B-4000 Liege, Belgium

来源：

PHYSICA A | 2000年 / 284卷 / 1-4期

关键词：

Boltzmann equation; equilibrium market; share price; econophysics; order parameter;

D O I：

10.1016/S0378-4371(00)00290-9

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Recent observations have indicated that the traditional equilibrium market hypothesis (EMH; also known as Efficient Market Hypothesis) is unrealistic. It is shown here that it is the analog of a Boltzmann equation in physics, thus having some bad properties of mean-field approximations like a Gaussian distribution of price fluctuations. A kinetic theory for prices can be simply derived, considering in a first approach that market actors have all identical relaxation times, and solved within a Chapman-Enskog like formalism. In closing the set of equations, (i) an equation of state with a pressure and (ii) the equilibrium (isothermal) equation for the price (tah-ett as the order parameter) of a stock as a function of the volume of money available are obtained. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：385 / 392

页数：8

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