Institute of Information Theory and Automation

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Mathematical modeling of the microstructure of the financial markets with the non-synchronous trading

Agency: 
GACR
Identification Code: 
GA402/06/1417
Start: 
2006-01-01
End: 
2008-01-01
Project Type (EU): 
other
Abstract: 
The goal of the proposed project is the construction and the verification of a new model of a financial market's behaviour. The model is aimed to assume the heterogeneity of the agents and the non-synchronicity of the agent's actions, to consider the microstructure of the market (i.e. the rules according to which the market is functioning) and to take the liquidity of the market into account. The model should also be in an accordance with the empirical data.
Publications ÚTIA: 
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2012-03-21 12:06