Boltzmann-type models for price formation in the presence of behavioral aspects

We introduce and discuss a new kinetic system for a financial market composed by agents that may belong to two different trader populations, whose behavior determines the price dynamic of a certain stock. Our mesoscopic description is based on the microscopic Lux–Marchesi model, and share analogies with the recent kinetic model by Maldarella and Pareschi, from which it differs in various points. In particular, it takes into account price acceleration, as well as a microscopic binary interaction for the exchange between the two populations of agents. Various numerical simulations show that the model can describe realistic situations, like regimes of boom and crashes, as well as the invariance of the large-time behavior with respect to the number of agents of the market. The research that led to the present paper was partially supported by a grant of the group GNFM of INdAM