Particle-scale modelling of financial price dynamics

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4 Citations (Scopus)


This paper proposes a particle-based computational framework for modeling of financial price dynamics, which is an extension of the recent empirical work of Financial Brownian Particle (FBP), and discretizes and solves the Langevin equation that is the continuum representation of a financial market. The framework enables us to simulate the limit order book of the USD/JPY exchange rates. The research yields results that are in good agreement with the published empirical results. Our framework of modelling financial prices is of multidisciplinary nature, and can bridge the fields of empirical studies of financial order books, particle dynamics simulation, and modelling of financial market.

Original languageEnglish
Pages (from-to)282-295
Number of pages14
JournalCommunications in Nonlinear Science and Numerical Simulation
Publication statusPublished - 1 Feb 2017


  • Discrete particle model
  • Financial Brownian Particle
  • Financial market modelling
  • Molecular dynamics
  • Order book


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