英文标题：
《A model of adaptive, market behavior generating positive returns,
volatility and system risk》
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作者：
Misha Perepelitsa
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最新提交年份：
2018
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英文摘要：
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents\' stock-to-bond ratios, depending on the past performance of their portfolios.The stock price is set according to the demand-supply for the asset derived from the agents\' target risk levels. Using the methodology of agent-based modeling we show that agents, acting endogenously and adaptively, create a persistent price bubble. The price dynamics generated by the trading process does not reveal any singularities, however the process is accompanied by growing aggregated risk that indicates increasing likelihood of a crash.
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中文摘要：
我们描述了一个基于经济主体适应性行为的简单投机交易模型。这种适应性行为是通过一种反馈机制来表达的，该机制根据代理人投资组合的过去表现来改变其股票债券比率。股票价格是根据代理人目标风险水平得出的资产供求关系设定的。利用基于agent的建模方法，我们证明了agent的内生性和适应性行为会造成持续的价格泡沫。交易过程产生的价格动态没有揭示任何奇点，但该过程伴随着不断增长的总风险，这表明崩溃的可能性越来越大。
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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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