英文标题：
《Prospect Agents and the Feedback Effect on Price Fluctuations》
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作者：
Yipeng Yang, Allanus Tsoi
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最新提交年份：
2014
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英文摘要：
A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply, the agents\' trading behaviors can affect the price process in turn, which is called the feedback effect. The prospect agents make actions based on their reactions to gains and losses, and as a consequence of the feedback effect, a relationship between the agents\' trading behavior and the price fluctuations is constructed, which explains the implied volatility skew and smile observed in actual market.
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中文摘要：
提出了一种微观经济学方法来推导风险资产价格的波动，其中市场参与者被建模为潜在交易代理人。由于资产价格是由需求和供给之间的暂时均衡产生的，代理人的交易行为会反过来影响价格过程，这被称为反馈效应。潜在代理人根据其对收益和损失的反应采取行动，并且作为反馈效应的结果，在代理人的交易行为和价格波动之间建立了一种关系，这解释了在实际市场中观察到的隐含波动性偏斜和微笑。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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