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

被引：0
|
作者：
Vvedenskaya, N. [1 ]
Suhov, Y. [1 ,2 ,3 ,4 ]
Belitsky, V. [4 ]
机构：
[1] RAS, Inst Informat Transmiss Problems, Moscow 127994, Russia
[2] Univ Cambridge, DPMMS, London CB3 0WB, England
[3] St Johns Coll, London CB3 0WB, England
[4] Univ Sao Paulo, IME, BR-05389970 Sao Paulo, Brazil
来源：
MARKOV PROCESSES AND RELATED FIELDS | 2013年 / 19卷 / 01期
基金：
巴西圣保罗研究基金会;
关键词：
market model; Markov process; scaling; differential equations; asymptotics; ORDER BOOK;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：83 / 98
页数：16
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