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MFG queuing models and market micro structure

Monday, November 12, 2012 - 11:20am - 12:20pm
Keller 3-180
Jean-Michel Lasry (Université de Paris IX (Paris-Dauphine))
Using MFG monotone systems one can push some features (like agents strategies based on recursive anticipations) inside queuing theory. This MFG-queuing methodology will be illustrated through a model of order books dynamics.
MSC Code: 
91B26
Keywords: