- Path:
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The group behavior analysis of the high-frequency traders based on Mean Field Games approach
Files
Restricted access: The document can be accessed only at the computer workstations of the Zentral- and Landesbibliothek Berlin. Here you can find our current opening hours.
Periodical
- Title:
- Journal of inverse and ill-posed problems
- Publication:
-
Berlin: de Gruyter
- Note:
- Gesehen am 30.01.12
- C!URL-Ä(03-06-08);355!URL-Ä(30-01-12)
- Scope:
- Online-Ressource
- ISSN:
- 1569-3945
- ZDB-ID:
-
2041913-2
- VÖBB-Katalog:
- 15137206
- Keywords:
- Zeitschrift
- Classification:
- Mathematik
- Collection:
- Mathematik
- Copyright:
- Rights reserved
- Accessibility:
- Eingeschränkter Zugang mit Nutzungsbeschränkungen
Article
- Title:
- The group behavior analysis of the high-frequency traders based on Mean Field Games approach
- Publication:
-
Berlin: de Gruyter, 2024
- Language:
- English
- Information:
- Abstract: We present an approach to describe the group behavior of the high-frequency traders in the stock market based on Mean Field Games and optimal control theory. The problem is formalized as a system of coupled PDEs: Kolmogorov–Fokker–Planck, evolving forward in time with initial condition, and Hamilton–Jacobi–Bellman, evolving backwards in time with terminal condition. Under certain assumptions, the system of PDEs can be reduced to Riccati-type ODEs. We solve the inverse problem to describe the behavior of the high-frequency traders during the Chinese stock market crisis in 2015.
- Scope:
- Online-Ressource
- Note:
- Kein Open Access
- Archivierung/Langzeitarchivierung gewährleistet
- Keywords:
- Mean field games ; ill-posedness ; turnpike ; trading execution model ; Riccati equations ; 49J15 ; 49N45 ; 49N90
- Classification:
- Mathematik
- Sonstiges
- Collection:
- Mathematik
- Sonstiges
- Copyright:
- Rights reserved
- Accessibility:
- Eingeschränkter Zugang mit Nutzungsbeschränkungen
