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October 10, 2025Open Access

Modelling Asset Price Dynamics with Investor Inertia: Diffusion with Advection and Fourth-Order Extension

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This model demonstrates how investor inertia impacts asset price dynamics, suggesting dual implications for trends and extremes.

The model incorporates investor inertia, leading to improved fitting of asset price behavior.
It significantly improves over classic models, yielding better results for the real distribution of asset returns.
The approach uses a fourth-order extension stemming from diffusion-with-retention principles to capture heavy tails.
Empirical analysis based on Brazilian PETR4.SA data validates the model's superior performance in real-world contexts.

Santos et al. (2025) studied this question.

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October 10, 2025Open Access

View Full Paper

Ask AI

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Authors

This model demonstrates how investor inertia impacts asset price dynamics, suggesting dual implications for trends and extremes.

The model incorporates investor inertia, leading to improved fitting of asset price behavior.
It significantly improves over classic models, yielding better results for the real distribution of asset returns.
The approach uses a fourth-order extension stemming from diffusion-with-retention principles to capture heavy tails.
Empirical analysis based on Brazilian PETR4.SA data validates the model's superior performance in real-world contexts.

Santos et al. (2025) studied this question.

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