Dresden 2026 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 9: Economic Models

SOE 9.2: Talk

Wednesday, March 11, 2026, 11:45–12:00, GÖR/0226

Kinetic theory re-examination of the mean-field theory of Santa Fe financial market model — •Taiki Wakatsuki and Kiyoshi Kanazawa — Department of Physics, Graduate School of Science, Kyoto University, Kyoto 606-8502, Japan

Understanding and accurately modeling the statistical phenomena observed in real financial markets remains a central challenge in econophysics. In particular, the Santa Fe model, where order events occur according to a Poisson process, has been widely used as a verifiable financial market model. Simulation results of the Santa Fe model clearly demonstrate that it can explain the statistical laws of real markets to a certain extent. However, previous theoretical explanations of these statistical laws, which relied on dimensional analysis and mean-field theory, are neither unique nor fully sufficient. Therefore, this study will re-examine the mean-field theory of the Santa Fe model using kinetic theory. This presentation provides a theoretical analysis of the bid-ask spread and reports on its scaling.

Keywords: Mean-field theory; Agent-based Models; Santa Fe model; Limit order book; Kinetic theory