英文标题：
《Wealth dynamics in a sentiment-driven market》
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作者：
Mikhail Goykhman
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最新提交年份：
2017
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英文摘要：
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty, and the trading intensity of all or a part of the market participants. We study how the wealth of market participants evolves in time in such an environment. We discuss the opposite perspective in which the parameters of the sentiment processes can be inferred a posteriori from the observed market behavior.
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中文摘要：
我们研究由外部给定过程（我们称之为情绪）驱动的股票和货币模拟世界的动力学。所考虑的情绪会影响所有或部分市场参与者的买入/卖出股票交易态度、感知到的价格不确定性以及交易强度。我们研究在这样的环境中，市场参与者的财富是如何随时间演变的。我们讨论了另一种观点，即情绪过程的参数可以从观察到的市场行为中进行后验推断。
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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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