| Texto completo | |
| Autor(es): |
Número total de Autores: 3
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| Afiliação do(s) autor(es): | [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
Número total de Afiliações: 4
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| Tipo de documento: | Artigo Científico |
| Fonte: | Markov Processes and Related Fields; v. 19, n. 1, p. 83-98, 2013. |
| Citações Web of Science: | 3 |
| Resumo | |
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) | |
| Processo FAPESP: | 10/17835-0 - Probabilidade e suas aplicações em física e finanças |
| Beneficiário: | Vladimir Belitsky |
| Modalidade de apoio: | Auxílio à Pesquisa - Pesquisador Visitante - Internacional |