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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

A Non-Linear Model of Trading Mechanism on a Financial Market

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Vvedenskaya, N. [1] ; Suhov, Y. [2, 1, 3, 4] ; Belitsky, V. [2]
Total Authors: 3
[1] RAS, Inst Informat Transmiss Problems, Moscow 127994 - Russia
[2] Univ Sao Paulo, IME, BR-05389970 Sao Paulo - Brazil
[3] Univ Cambridge, DPMMS, London CB3 0WB - England
[4] St Johns Coll, London CB3 0WB - England
Total Affiliations: 4
Document type: Journal article
Source: Markov Processes and Related Fields; v. 19, n. 1, p. 83-98, 2013.
Web of Science Citations: 3

We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of orders with different prices. We then perform a re-scaling procedure leading to a deterministic dynamical system controlled by non-linear ordinary differential equations (ODEs). This allows us to introduce approximations for the equilibrium distribution of the model represented by fixed points of deterministic dynamics. (AU)

FAPESP's process: 10/17835-0 - Probability and its applications in physics and finance
Grantee:Vladimir Belitsky
Support Opportunities: Research Grants - Visiting Researcher Grant - International