英文标题：
《Analytic solutions in a continuous-time financial market model》
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作者：
Zsolt Bihary and Attila Andr\\\'as V\\\'ig
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最新提交年份：
2019
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英文摘要：
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price dynamics and profitability either within deterministic models or by simulation. Our novel formulation lends itself to analytic treatment even in the stochastic case. We prove conditions for the (stochastic) stability of the price process, and also for the price to mean-revert to the fundamental value. Assuming stability, we derive analytic formulae on how the population ratios influence price dynamics and the profitability of the strategies. Our results suggest that whichever trader type is more present in the market will achieve higher returns.
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中文摘要：
我们提出了一个连续时间的异构代理市场模型（HAM）。市场上充斥着基本面交易员和图表师，他们都使用简单的线性交易规则。大多数相关文献在确定性模型内或通过模拟探索稳定性、价格动态和盈利能力。即使在随机情况下，我们的新公式也适用于分析处理。我们证明了价格过程（随机）稳定的条件，以及价格均值回归基本值的条件。假设稳定，我们推导出人口比率如何影响价格动态和策略盈利能力的分析公式。我们的结果表明，无论哪种交易者类型在市场上出现得更多，都将获得更高的回报。
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分类信息：

一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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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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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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