英文标题：
《Selection mechanisms affect volatility in evolving markets》
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作者：
David Rushing Dewhurst, Michael Vincent Arnold, Colin Michael Van Oort
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最新提交年份：
2019
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英文摘要：
Financial asset markets are sociotechnical systems whose constituent agents are subject to evolutionary pressure as unprofitable agents exit the marketplace and more profitable agents continue to trade assets. Using a population of evolving zero-intelligence agents and a frequent batch auction price-discovery mechanism as substrate, we analyze the role played by evolutionary selection mechanisms in determining macro-observable market statistics. In particular, we show that selection mechanisms incorporating a local fitness-proportionate component are associated with high correlation between a micro, risk-aversion parameter and a commonly-used macro-volatility statistic, while a purely quantile-based selection mechanism shows significantly less correlation.
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中文摘要：
金融资产市场是一种社会技术系统，由于无利可图的代理人退出市场，利润更高的代理人继续交易资产，其组成代理人受到进化压力。我们以进化中的零智能主体群体和频繁的批量拍卖价格发现机制为基础，分析了进化选择机制在确定宏观可观察市场统计数据中所起的作用。特别是，我们表明，包含局部适应度比例成分的选择机制与微观风险厌恶参数和常用宏观波动率统计数据之间的高度相关性相关，而纯粹基于分位数的选择机制显示的相关性显著降低。
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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：Computer Science 计算机科学
二级分类：Multiagent Systems 多智能体系统
分类描述：Covers multiagent systems, distributed artificial intelligence, intelligent agents, coordinated interactions. and practical applications. Roughly covers ACM Subject Class I.2.11.
涵盖多Agent系统、分布式人工智能、智能Agent、协调交互。和实际应用。大致涵盖ACM科目I.2.11类。
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