From Disequilibrium Markets to Equilibrium

• Tác giả: Christian Lax, Torsten Trimborn
• Ngôn ngữ: eng
• Ký hiệu phân loại: 532.2 Hydrostatics
• Thông tin xuất bản: 2019
• Bộ sưu tập: Báo, Tạp chí
• ID: 163743

Tóm tắt

The modeling of financial markets as disequilibrium models by ordinary differential equations has become a popular modeling tool. One famous example of such a model is the Beja-Goldman model(The Journal of Finance, 1980) which we consider in this paper. We study the passage from disequilibrium dynamics to equilibrium. Mathematically, this limit corresponds to an asymptotic limit also known as a Tikhonov-Fenichel reduction. Furthermore, we analyze the stability of the reduced equilibrium model and discuss the economic implications. We conduct several numerical examples to visualize and support our analysis.