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

Autor(es)

Vvedenskaya, N. ^[1] ; Suhov, Y. ^{[2, 1, 3, 4]} ; Belitsky, V. ^[2]

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

• 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
• Linha de fomento: Auxílio à Pesquisa - Pesquisador Visitante - Internacional