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Numerical solution of Mean Field Games system with a turnpike effectтезисы доклада
- Автор: Trusov N.
- Сборник: QIPA-2020, Conference handbook and proceedings
- Тезисы
- Год издания: 2020
- Место издания: QIPA Moscow Institute of Physics and Technology (MIPT) Faculty of Applied Mathematics and Control of MIPT
- Первая страница: 15
- Последняя страница: 15
- Аннотация: We present an approach to describe the stock market crises based on Mean Field Games (MFGs) and Optimal Control theory with a turnpike effect. The impact of the large amount of high-frequency traders can be modelled via mean field term. We introduce the turnpike as a function that relies on the changes of the asset share price. A MFG is a coupled system of PDEs: a Kolmogorov-Fokker-Planck equation, evolving forward in time and a Hamilton-Jacobi-Bellman equation, evolving backwards in time. The ill-posedness of this system comes from a turnpike effect. We present the numerical solution of an extremal problem that is dual to PDEs system. We apply this approach to describe the Chinese stock market crash in 2015 considering the representative stock of CITIC Securities (ticker 600030).
- Добавил в систему: Трусов Николай Всеволодович