ON THE ASYMPTOTIC BEHAVIOR OF A BOLTZMANN-TYPE PRICE FORMATION MODEL

In this paper we study the asymptotic behavior of a Boltzmann-type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transaction costs. This observation motivates the study of the limit as the number of transactions k tends to infinity, the transaction cost a to zero and ka = const. Furthermore we illustrate the price dynamics with numerical simulations.