英文标题：
《Swarm behavior of traders with different subjective predictions in the
Market》
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作者：
Hiroshi Toyoizumi
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最新提交年份：
2017
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英文摘要：
A combination of a priority queueing model and mean field theory shows the emergence of traders\' swarm behavior, even when each has a subjective prediction of the market driven by a limit order book. Using a nonlinear Markov model, we analyze the dynamics of traders who select a favorable order price taking into account the waiting cost incurred by others. We find swarm behavior emerges because of the delay in trader reactions to the market, and the direction of the swarm is decided by the current market position and the intensity of zero-intelligent random behavior, rather than subjective trader predictions.
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中文摘要：
优先排队模型和平均场理论的结合显示了交易者群体行为的出现，即使每个交易者都有一个由限价指令簿驱动的对市场的主观预测。利用一个非线性马尔可夫模型，我们分析了交易者在考虑他人等待成本的情况下选择有利订单价格的动力学。我们发现，群体行为的出现是因为交易者对市场反应的延迟，而群体的方向是由当前的市场地位和零智能随机行为的强度决定的，而不是由交易者的主观预测决定的。
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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：Physics 物理学
二级分类：Adaptation and Self-Organizing Systems 自适应和自组织系统
分类描述：Adaptation, self-organizing systems, statistical physics, fluctuating systems, stochastic processes, interacting particle systems, machine learning
自适应，自组织系统，统计物理，波动系统，随机过程，相互作用粒子系统，机器学习
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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。
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