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Application of Mean Field Games approximation to economic processes modelingдоклад на конференции
- Автор: Trusov N.
- Международная Конференция : QIPA-2018
- Даты проведения конференции: 3-5 декабря 2018
- Дата доклада: 3 декабря 2018
- Тип доклада: Устный
- Докладчик: Trusov N.
- Место проведения: МФТИ, Russia
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Аннотация доклада:
This work relies on the results of a model presented by Fatone, L., Mariani, F., Recchioni, M.C. and Zirilli, F. (2014) (A Trading Execution Model Based on Mean Field Games and Optimal Control) and is its extension. We present a trading execution model of professional trader and retail traders on financial market. The behavior of retail traders is described by a system of PDE's that, by some assumptions, can be reduced to ODE's system. The optimal strategy of professional trader is based on optimal control theory.
- Добавил в систему: Трусов Николай Всеволодович