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 - 2013 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Applied Mathematics