Date&Time: October 26 (Fri) 2018, 14:00- Venue: Kyoto University Katsura Campus A4-115 Speaker: Dr Kiyoshi Kanazawa (Tokyo Institute of Technology) Title: Statistical mechanics of financial Brownian motion: kinetic theory from microscopic dynamics Abstract: Kinetic theory is a landmark of statistical physics and is applicable to reveal the physical Brownian motion from first principles. In this framework, the Boltzmann and Langevin equations are systematically derived from the Newtonian dynamics via the Bogoliubov-Born-Green-Kirkwood-Yvon (BBGKY) hierarchy [1,2]. In light of this success, it is natural to apply this methodology to social science beyond physics, such as to finance. In this presentation, we apply kinetic theory to financial Brownian motion [3,4] with the empirical […]