| Full text | |
| Author(s): |
Total Authors: 3
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| Affiliation: | [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
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| Document type: | Journal article |
| Source: | Markov Processes and Related Fields; v. 19, n. 1, p. 83-98, 2013. |
| Web of Science Citations: | 3 |
| Abstract | |
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 |