英文标题：
《From quantum mechanics to finance: Microfoundations for jumps, spikes
and high volatility phases in diffusion price processes》
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作者：
Christof Henkel
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最新提交年份：
2016
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英文摘要：
We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/ excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an It\\^o-diffusion price processes in the large market limit.
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中文摘要：
我们提出了一个基于代理行为的微观模型，该模型在交易资产的价格过程中诱导跳跃、尖峰和高波动阶段。我们将在量子力学背景下讨论的未激发/激发双态系统的热激活跳跃动力学转移到主体的社会经济行为，并提供微观基矗在将内生代理行为与价格动力学联系起来之后，我们建立了在大市场限制下，动力学收敛到It o扩散价格过程的情况。
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分类信息：

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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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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