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domenica 3 giugno 2018

# gst: Brownian motion from trading

<< The kinetic theory of molecules, involving many collisions between particles, leads to the emergence of physical Brownian motion. By generalizing the kinetic framework, the study showed the emergence of financial Brownian motion from decisions made by individual traders. >>

Tokyo Institute of Technology. The physics of finance helps solve a century-old mystery. Mar 29, 2018.

https://m.phys.org/news/2018-03-physics-century-old-mystery.html

AA << model is the first microscopic model that has been directly validated through data analysis of the microscopic dynamics, exhibiting quantitative agreements with mesoscopic and macroscopic empirical results. >>

Kiyoshi Kanazawa, Takumi Sueshige, et al.  Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders.   Phys. Rev. Lett. 120, 13830. doi: 10.1103/PhysRevLett.120.138301. Mar 27, 2018.

https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.120.138301

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