15 февраля 2011 г. (вторник), 16:00, ауд. 307.
Докладчик: Никита Введенская.
Марковская модель рынка, динамика и стационарное состояние
(joint work with Y. Suhov)
This work focuses on some simple models of limit order book dynamics which simulate market trading mechanisms. We start with a discrete time/space Markov process and then perform a re-scaling procedure leading to a deterministic dynamical system controlled by non-linear ODEs. This allows us to introduce approximants for the equilibrium distribution of the process represented by fixed points of deterministic dynamics.
| 10.02.2011 | Петров Леонид Александрович |