Large-scale asymptotics in some queueing models

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• Yuriy Suhov (Statslab)
• Monday 28 February 2011, 14:30-15:30
• MR12, Centre for Mathematical Sciences, Wilberforce Road, Cambridge.

If you have a question about this talk, please contact Elena Yudovina.

The talk will focus on models of limit order book dynamics which simulate market trading mechanisms. The basis of the model is a discrete time/space Markov process which is subjected to a re-scaling procedure leading to a deterministic dynamical system controlled by non-linear ODEs. This allows us to introduce approximants for the equilibrium distribution of the process represented by fixed points of deterministic dynamics.

This talk is part of the Optimization and Incentives Seminar series.

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