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

N. Vvedenskaya; Y. Suhov; V. Belitsky

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

N. Vvedenskaya, Y. Suhov, V. Belitsky

Mathematics

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	83-98
Number of pages	16
Journal	Markov Processes and Related Fields
Volume	19
Issue number	1
State	Published - Jun 3 2013

All Science Journal Classification (ASJC) codes

Statistics and Probability
Applied Mathematics

Cite this

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

Abstract

All Science Journal Classification (ASJC) codes

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