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Your search keyword '"Trusov, Nikolai"' showing total 3 results
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3 results on '"Trusov, Nikolai"'

1. Mathematical Modeling of the Interest Rates Formation on Consumer Loans in Russia

Author

Shananin, Alexander A., Trusov, Nikolai V., Hartmanis, Juris, Founding Editor, Goos, Gerhard, Founding Editor, Bertino, Elisa, Editorial Board Member, Gao, Wen, Editorial Board Member, Steffen, Bernhard, Editorial Board Member, Yung, Moti, Editorial Board Member, Eremeev, Anton, editor, Khachay, Michael, editor, Kochetov, Yury, editor, Mazalov, Vladimir, editor, and Pardalos, Panos, editor

Published
2024
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2. The group behavior analysis of the high-frequency traders based on Mean Field Games approach.

Author

Egorov, Lev V. and Trusov, Nikolai V.

Subjects
*OPTIMAL control theory, *RICCATI equation, *BEHAVIORAL assessment, *INVERSE problems, *PROBLEM solving
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. [ABSTRACT FROM AUTHOR]

Published
2024
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