英文标题：
《Testing for Detailed Balance in a Financial Market》
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作者：
Rudolf Fiebig and David Musgrove
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最新提交年份：
2014
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英文摘要：
We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process based on a Markov chain, thus leading to equilibrium. In economic terms, a positive outcome of the test would support the efficient market hypothesis, a cornerstone of neo-classical economic theory. In contrast to the usage in prevalent economic theory the term equilibrium here is tied to the returns, rather than the price time series. The test is based on an action functional $S$ constructed from the elements of the detailed balance condition and the historical data set, and then analyzing $S$ by means of simulated annealing. Checks are performed to verify the validity of the analysis method. We discuss the outcome of this analysis.
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中文摘要：
我们测试了金融市场（纳斯达克100指数）的历史价格时间序列，以确定被称为详细余额的统计特性。详细平衡的存在意味着市场可以由基于马尔可夫链的随机过程建模，从而达到平衡。从经济学角度来看，检验的积极结果将支持有效市场假说，这是新古典经济学理论的基石。与流行的经济理论中的用法相反，这里的均衡一词与收益有关，而不是与价格时间序列有关。该测试基于由详细平衡条件和历史数据集的元素构造的动作功能$S$，然后通过模拟退火分析$S$。进行检查以验证分析方法的有效性。我们讨论分析的结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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