Derivation of one-dimensional hydrodynamic model for stock price evolution

Abstract

It was proved that balance equations for systems with corpuscular structure can be derived if a kinematic description by piece-wise analytic functions is available (Vamoş et al., Physica A 227 (1996) 81). This article presents a rigorous derivation of an one-dimensional hydrodynamic model for the stock price evolution. The kinematic description is given by a set of time functions describing the evolution of the stock price.

Authors

C. Vamoş
T. Popoviciu” Institute of Numerical Analysis, Romanian Academy

N. Suciu
T. Popoviciu” Institute of Numerical Analysis, Romanian Academy

W. Blaj
Globinvest SA Investment Company, Romanian

Keywords

Econophysics; statistical mechanics; hydrodynamics

Cite this paper as

C. Vamoş, N. Suciu, W. Blaj (2000), Derivation of one-dimensional hydrodynamic model for stock price evolution, Physica A, 287, 461-467, doi: 10.1016/S0378-4371(00)00385-X

References

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https://ictp.acad.ro/vamos/papers/2000-vamos-suciu-blaj.pdf

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Journal

Physica A

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