摘要翻译：
我们从基本的经济学原理出发，建立了一个大投资者与有限数量的做市商以无效用价格进行交易的连续时间模型。在该模型中，做市商通过其报价竞争投资者的指令，并相互交易以达到帕累托最优配置。我们首先考虑简单策略的情况，然后，类似于随机积分的构造，研究向一般连续动力学的转变。结果表明，模型的演化可以用做市商期望效用的非线性随机微分方程来描述。
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英文标题：
《A model for a large investor trading at market indifference prices. II:
  Continuous-time case》
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作者：
Peter Bank, Dmitry Kramkov
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最新提交年份：
2015
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the investor's orders and trade among themselves to attain Pareto optimal allocations. We first consider the case of simple strategies and then, in analogy to the construction of stochastic integrals, investigate the transition to general continuous dynamics. As a result, we show that the model's evolution can be described by a nonlinear stochastic differential equation for the market makers' expected utilities.
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PDF链接：
https://arxiv.org/pdf/1110.3229