arXiv subjects

Misha Perepelitsa

Publications and source records attributed to Misha Perepelitsa.

24 records · Page 2Linked to original sources

arXiv2018

Asynchronous stochastic price pump

We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a market adaptive strategy. In this model only a fraction of agents participates in buying and selling stock during a trading period, while the rest of the group accepts the newly set price. Using numerical simulations we show that the stochastic process settles on a stationary regime for the returns. The mean return can be greater or less than the return on the bond and it is determined by the parameters of the adaptive mechanism. When the number of interacting agents is fixed, the distribution of the returns follows the log-normal density. In this case, we give an analytic formula for the mean rate of return in terms of the rate of change of agents' risk levels and confirm the formula by numerical simulations. However, when the number of interacting agents per period is random, the distribution of returns can significantly deviate from the log-normal, especially as the variance of the distribution for the number of interacting agents increases.

q-fin.TR↗

arXiv2016

Approximate solutions of scalar conservation laws

We study compactness properties of time-discrete and continuous time BGK-type schemes for scalar conservation laws, in which microscopic interactions occur only when the state of a system deviates significantly from an equilibrium distribution. The threshold deviation, $ε,$ is a parameter of the problem. In the vanishing relaxation time limit we obtain solutions of a conservation law in which flux is pointwisely close (of order $ε$) to the flux of the original equation and derive several other properties of such solutions, including an example of approximate solution to a shock for Burger's equation.

math.AP↗

arXiv2016

Gibb's minimization principle for approximate solutions of scalar conservation laws

In this work we study variational properties of approximate solutions of scalar conservation laws. Solutions of this type are described by a kinetic equation which is similar to the kinetic representation of admissible weak solutions due to Lions-Perthame-Tadmor, but also retain small scale non-equilibrium behavior. We show that approximate solutions can be obtained from a BGK-type equation with equilibrium densities satisfying Gibb's entropy minimization principle.

math.AP↗

arXiv2016

A kinetic transport-projection splitting algorithm for an hierarchy of moment closures of gas-kinetic equations

We review some geometrical properties of models of moment closures of gas-kinetic equations, and consider a transport-projection splitting scheme for construction of solutions of such closures. The scheme, formulated in terms of a dual kinetic density, defines the kinetic density in successive superposition of transport in $x$--direction and projection to a finite dimensional linear space in a weighted $L^2$ space, in the kinetic variable $v.$ Given smooth initial data, we show that the approximate solutions converge to a unique classical solution of a system of moment closure PDEs.

math.AP↗

arXiv2015

The time scales of the aggregate learning and sorting in market entry games with large number of players

We consider the dynamics of player's strategies in repeated market games, where the selection of strategies is determined by a learning model. Prior theoretical analysis and experimental data show that after large number of plays the average number of agents who decide to enter, per round of the game, approaches the market capacity and, after a longer wait, agents are being sorted into two groups: the agents in one group rarely enter the market, and in the other, the agents enter almost all the time. In this paper we obtain estimates of the characteristic times it takes for both patterns to emerge in the repeated plays of the game. The estimates are given in terms of the parameters of the game, assuming that the number of agents is large, the number of rounds of the game per unit of time is large, and the characteristic change of the propensity per game is small. Our approach is based on the analysis of the partial differential equation for the function $f(t,q)$ that describes the distribution of agents according to their level of propensity to enter the market, $q,$ at time $t.$

math.AP↗

arXiv2012

Variational properties of the kinetic solutions of scalar conservation laws

We discuss properties of kinetic solutions of scalar conservation laws in the variational approach developed by Eu. Panov and Y. Brenier. Our main result shows that such solutions can be considered as curves in a suitable Hilbert space with tangents that are unique minimizers of an interaction functional.

math.AP↗