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Matthew Dixon - Department of Applied Mathematics, Illinois Institute of Technology
Oct 23, 2018 - 11:25am to 12:40pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 121
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a non-... read more
Gordan Zitkovic - Department of Mathematics, University of Texas at Austin
Oct 22, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
The general equilibrium problem lies at the very foundation of neoclassical economics, and has been extensively studied since 1870s and the work of Leon Walras. The original problem in various formulations inspired a tremendous amount of mathematical theory in areas as diverse as game theory,... read more
Marcel Nutz - Department of Statistics and Department of Mathematics, Columbia University
Oct 19, 2018 - 1:00pm to 2:00pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 242
Mean field games are generally interpreted as approximations to \(n\)-player games with large \(n\). Indeed, \(n\)-player Nash equilibria are known to converge to their mean field counterpart when the latter is unique. In this talk we study a specific stochastic game where both the finite and... read more