A non-linear model of trading mechanism on a financial market

N. Vvedenskaya, Y. Suhov, V. Belitsky

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

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 languageEnglish (US)
Pages (from-to)83-98
Number of pages16
JournalMarkov Processes and Related Fields
Volume19
Issue number1
StatePublished - Jun 3 2013

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Applied Mathematics

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