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 priccs. 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.
|Original language||English (US)|
|Number of pages||16|
|Journal||Markov Processes and Related Fields|
|State||Published - Jun 3 2013|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Applied Mathematics