4:00 p.m., Monday (January 26th)
Math Bldg. Room 203
Humboldt University of Berlin
The mathematical modelling of market microstructure
In Mathematical Finance the price process is a risky asset which
is usually modelled by the trajectory of a stochastic process
on some underlying probability space. Since asset prices are
generated by the demand of agents who are active on a financial
market, stock prices should be viewed as the result of an
interaction between many agents with possibly bounded rationality.
If the number of market participants involved in the formation of
stock prices becomes large, such an approach allows to bring in
techniques from Markov random field theory, from the theory of
interacting Markov processes or from queueing theory. In this
talk we review some recent results on the mathematical modelling
of market microstructure. In particular, we study the impact of
investor inertia on the dynamics of stock prices.
Refreshments will be served at 3:45 p.m. in the Faculty Lounge,
Math Annex (Room 1115).