Top-level heading

Mean Field games and queuing theory: dynamic of order books as a liquidity offer/demand equilibrium

Categoria
Seminari di Modellistica Differenziale Numerica
Data e ora inizio evento
Data e ora fine evento
Aula
Sala di Consiglio
Sede

Dipartimento di Matematica Guido Castelnuovo, Università Sapienza Roma

Speaker

J.M. Lasry, Chaire Finance et Dèveloppement Durable

Mean Field Game approach provides a framework for queuing model with strategic anticipations. This will be the key new feature to model the game equilibrium between stochastic flows of impatient and patient buyers and sellers, hence the order books dynamic. Mathematical analysis of the model is based on the tool box of MFG-monotone systems.