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Интеллектуальная Система Тематического Исследования НАукометрических данных |
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Application of Mean field Games Approximation to economic processes modelingстатья
- Автор: Trusov N.
- Сборник: IX Moscow International Conference on Operations Research (ORM2018). Moscow, October 22–27, 2018. Proceedings. In two volumes. / Editor-in-chief F. Ereshko
- Том: 1
- Год издания: 2018
- Место издания: MAKS Press Moscow
- Первая страница: 208
- Последняя страница: 212
- Аннотация: We present a trading executional model of professional trader and retail traders on financial market. On financial market we have the main investors that hold the asset shares with a view to a further growth of the asset share price, also known as long-term investors, and traders that are trying to maximize the revenue resulting from buying and selling blocks of asset shares. These traders are divided into two types of traders: a big trader, also known as professional trader, that can predict the further dynamic of asset share by analyzing the considered financial market, and a multitude of retail traders. Retail traders are non-professional traders that are acting similarly, trying to avoid abrupt changes. The behaviour of the retail traders is presented by a system of PDEs: a Kolmogorov--Fokker--Planck equation, evolving forward in time, and Hamilton--Jacobi--Bellman equation, evolving backwards in time. Under special assumptions the system of PDEs can be reduced to a system of ODEs Riccati. The problem of maximizing the budget of a big trader is presented in this work.
- Добавил в систему: Трусов Николай Всеволодович