MFG queuing models and market micro structure
Monday, November 12, 2012 - 11:20am - 12:20pm
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.