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SUMMARY:Large-scale asymptotics in some queueing models - Yuriy Suhov (Sta
 tslab)
DTSTART:20110228T143000Z
DTEND:20110228T153000Z
UID:TALK29805@talks.cam.ac.uk
CONTACT:Elena Yudovina
DESCRIPTION:The talk will focus on models of limit order book\ndynamics wh
 ich simulate market trading mechanisms. The basis of the model is a discre
 te 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\nequilibrium distributio
 n of the process represented by fixed points of deterministic dynamics.
LOCATION:MR12\,  Centre for Mathematical Sciences\, Wilberforce Road\, Cam
 bridge
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