英文标题：
《Equilibrium Pricing in an Order Book Environment: Case Study for a Spin
Model》
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作者：
Frederik Meudt, Thilo A. Schmitt, Rudi Sch\\\"afer and Thomas Guhr
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最新提交年份：
2015
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英文摘要：
When modelling stock market dynamics, the price formation is often based on an equilbrium mechanism. In real stock exchanges, however, the price formation is goverend by the order book. It is thus interesting to check if the resulting stylized facts of a model with equilibrium pricing change, remain the same or, more generally, are compatible with the order book environment. We tackle this issue in the framework of a case study by embedding the Bornholdt-Kaizoji-Fujiwara spin model into the order book dynamics. To this end, we use a recently developed agent based model that realistically incorporates the order book. We find realistic stylized facts. We conclude for the studied case that equilibrium pricing is not needed and that the corresponding assumption of a \"fundamental\" price may be abandoned.
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中文摘要：
在对股市动态进行建模时，价格形成通常基于均衡机制。然而，在真正的证券交易所，价格的形成是由指令簿控制的。因此，有趣的是，检查均衡定价变化模型的结果样式化事实是否保持不变，或者更一般地说，是否与订单环境兼容。我们通过将Bornholdt Kaizoji Fujiwara自旋模型嵌入到订单动态中，在案例研究的框架内解决了这个问题。为此，我们使用了一个最近开发的基于代理的模型，该模型实际上包含了订单。我们发现现实的程式化事实。我们的结论是，在所研究的案例中，不需要均衡定价，相应的“基本”价格假设可能会被放弃。
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分类信息：

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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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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