Mathematics of the Dynamics of Financial Markets
Applied mathematics offers a very broad array of perspectives to study the complexities involved in the dynamics of financial markets. This mini-symposium features the use of four distinct methods in understanding the evolution of prices in markets: modeling by means of ordinary or partial differential equations, computer simulations, and statistical methods.
While much of classical economics concerns equilibrium prices based on supply and demand, the dynamics of prices is an important topic on which each of these mathematical methods can make a substantial contribution. Among the important questions is the presence or absence of trends and oscillations in prices. For example, do prices move exponentially toward the equilibrium (in a classical manner) or do they overshoot and oscillate about it.
Organizer: Gunduz Caginalp
University of Pittsburgh
- 8:00: Computer Simulation of a Simple, Complete Micro-Economy.
Kenneth Steiglitz, Princeton University
- 8:30: Stock Market Bubbles in the Laboratory.
David P. Porter, California Institute of Technology, and Vernon L. Smith, University of Arizona
- 9:00: Differential Equations Models of Oscillations Arising from Trend-Based Investing.
Gunduz Caginalp, Organizer
- 9:30: Properties of Absolute Returns from Speculative Markets.
Cleve W.J. Granger, University of California, San Diego