[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v284y2000i1p385-392.html
   My bibliography  Save this article

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

Author

Listed:
  • Ausloos, M.
Abstract
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 (taken as the order parameter) of a stock as a function of the volume of money available are obtained.

Suggested Citation

  • Ausloos, M., 2000. "Gas-kinetic theory and Boltzmann equation of share price within an equilibrium market hypothesis and ad hoc strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 385-392.
    • Handle: RePEc:eee:phsmap:v:284:y:2000:i:1:p:385-392
    DOI: 10.1016/S0378-4371(00)00290-9
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437100002909
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/S0378-4371(00)00290-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marcel Ausloos & Herbert Dawid & Ugo Merlone, 2015. "Spatial Interactions in Agent-Based Modeling," Dynamic Modeling and Econometrics in Economics and Finance, in: Pasquale Commendatore & Saime Kayam & Ingrid Kubin (ed.), Complexity and Geographical Economics, edition 127, pages 353-377, Springer.
    2. Claudiu Vințe & Marcel Ausloos, 2023. "Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy," JRFM, MDPI, vol. 16(2), pages 1-24, February.
    3. Ausloos, Marcel & Jovanovic, Franck & Schinckus, Christophe, 2016. "On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 7-14.
    4. Alberto Bicci, 2016. "Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble," Papers 1602.06968, arXiv.org, revised Feb 2016.
    5. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
    6. Bicci, Alberto, 2016. "Limit order book and its modeling in terms of Gibbs Grand-Canonical Ensemble," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 516-524.
    7. Arthur Matsuo Yamashita Rios de Sousa & Hideki Takayasu & Misako Takayasu, 2017. "Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
    8. Alvarez-Ramirez, Jose & Ibarra-Valdez, Carlos, 2001. "Modeling stock market dynamics based on conservation principles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 493-511.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:284:y:2000:i:1:p:385-392. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.