Analysis of the Stock Market Crisis Based on Mean Field Games Concept

Kuts, A. S.; Trusov, N. V.

doi:10.1134/s1995080224010311

Lobachevskii J Math

2024

DOI: 10.1134/s1995080224010311

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Analysis of the Stock Market Crisis Based on Mean Field Games Concept

A. S. Kuts,

N. V. Trusov

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2024

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

Egorov,

Trusov

2024

Journal of Inverse and Ill-Posed Problems

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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.

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

Egorov,

Trusov

2024

Journal of Inverse and Ill-Posed Problems

View full text Add to dashboard Cite

show abstract

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Analysis of the Stock Market Crisis Based on Mean Field Games Concept

Cited by 1 publication

References 16 publications

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

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

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