2 citations · 2 across the 3 of their papers we have counts for
3 papers
q-fin.TR2012★ 2 cited
From Minority Game to Black & Scholes pricing
Matteo Ortisi, Valerio Zuccolo
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics deri…
math.PR2007
Polynomial rate convergence to an invariant measure for the continuum time limit of the Minority Game
Matteo Ortisi
In this paper we show that the continuum time version of the Minority Game satisfies the criteria for the application of a theorem on the existence of an invariant measure. We cons…
math.PR2007
A Law of Large Numbers for an Interacting Particle System with Confining Potential
Matteo Ortisi
In this paper we consider an interacting particle system modeled as a system of stochastic differential equations driven by Brownian motions with a drift term including a confi…