Трусов Н.В. Егоров Л.В.
The group behaviour analysis of the high-frequency traders based on Mean Field Games approach
Докладчик: Трусов Н.В.
We present an approach to describe the group behaviour of the high-frequency traders (HFTs) in the stock market based on Mean Field Games and Optimal Control theory with a turnpike effect. 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 ODEs. We solve the inverse problem to describe the behavior of HFTs during the Chinese stock market crisis in 2015.
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