英文标题：
《Markets, herding and response to external information》
---
作者：
Adri\\\'an Carro, Ra\\\'ul Toral, Maxi San Miguel
---
最新提交年份：
2015
---
英文摘要：
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by an external dynamic signal of information. This signal can be interpreted as a time-varying advertising, public perception or rumor, in favor or against one of two possible trading behaviors, thus breaking the symmetry of the system and acting as a continuously varying exogenous shock. As an illustration, we use a well-known German Indicator of Economic Sentiment as information input and compare our results with Germany\'s leading stock market index, the DAX, in order to calibrate some of the model parameters. We study the conditions for the ensemble of agents to more accurately follow the information input signal. The response of the system to the external information is maximal for an intermediate range of values of a market parameter, suggesting the existence of three different market regimes: amplification, precise assimilation and undervaluation of incoming information.
---
中文摘要：
我们关注外部信息源对金融市场的影响。特别是，我们开发了一个基于随机代理的市场模型，该模型具有一定的羊群行为，并且允许交易者受到外部动态信息信号的影响。这种信号可以被解释为一种时变的广告、公众感知或谣言，支持或反对两种可能的交易行为之一，从而打破系统的对称性，并作为一种持续变化的外生冲击。作为一个例子，我们使用德国著名的经济情绪指标作为信息输入，并将我们的结果与德国领先的股票市场指数DAX进行比较，以校准一些模型参数。我们研究了智能体集合更准确地跟踪信息输入信号的条件。在一个市场参数的中间值范围内，系统对外部信息的响应最大，这表明存在三种不同的市场机制：对传入信息的放大、精确同化和低估。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--
一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--

---
PDF下载：
-->