英文标题：
《Market Dynamics. On Supply and Demand Concepts》
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作者：
Vladislav Gennadievich Malyshkin
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最新提交年份：
2016
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英文摘要：
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the transaction. An approach in which Supply and Demand are always matched, but the rate $I=dv/dt$ (number of units traded per unit time) of their matching varies, is proposed. The state of the system is determined not by a price $p$, but by a probability distribution defined as the square of a wavefunction $\\psi(p)$. The equilibrium state $\\psi^{[H]}$ is postulated to be the one giving maximal $I$ and obtained from maximizing the matching rate functional $<I\\psi^2(p)>/<\\psi^2(p)>$, i.e. solving the dynamic equation of the form \"future price tend to the value maximizing the number of shares traded per unit time\". An application of the theory in a quasi--stationary case is demonstrated. This transition from Supply and Demand concept to Liquidity Deficit concept, described by the matching rate $I$, allows to operate only with observable variables, and have a theory applicable to practical problems.
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中文摘要：
供需失衡通常被认为是市场的驱动力。然而，即使在交易完成后，也不可能以不同于执行价格的价格计量或估计供求。提出了一种供需总是匹配的方法，但其匹配率$I=dv/dt$（单位时间内交易的单位数量）是不同的。系统的状态不是由$p$价格决定的，而是由定义为波函数$\\psi（p）$平方的概率分布决定的。均衡状态$\\psi^{[H]}$被假定为给出最大$I$的状态，并通过最大化匹配率函数$<I\\psi^2（p）>/<\\psi^2（p）>$获得，即求解形式为“未来价格趋向于使单位时间内交易的股票数量最大化的值”的动态方程。文中给出了该理论在准平稳情况下的应用。这种从供求概念到流动性赤字概念的转变，由匹配率$I$描述，只允许使用可观察变量进行操作，并且有一个适用于实际问题的理论。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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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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