3 papers
q-fin.MF2026
A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
Paolo Dai Pra, Paolo Pigato
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delat…
math.OC2024
Long Range Games
Francesca Albertini, Paolo Dai Pra
We consider -player games, in continuous time, finite state space and finite time horizon, on a geometrical structure possessing a macroscopic limit in a suitable sense. This ge…
math.PR2024
Long time fluctuations at critical parameter of Hopf's bifurcation
Michele Aleandri, Paolo Dai Pra
A dynamical system that undergoes a supercritical Hopf's bifurcation is perturbed by a multiplicative Brownian motion that scales with a small parameter . The random fluctuatio…