摘要翻译:
作者提出了一种金融交易策略&熵导向交易,并将热力学理论应用于该策略。选择状态变量使策略满足热力学第二定律。利用该定律,作者证明了该策略的投资率(ROI)等于或大于价格变化率。
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英文标题:
《Entropy Oriented Trading: A Trading Strategy Based on the Second Law of
Thermodynamics》
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作者:
Yoichi Hirai (The University of Tokyo, undergraduate)
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最新提交年份:
2007
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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:Popular Physics 大众物理学
分类描述:Description coming soon
描述即将到来
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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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英文摘要:
The author proposes a finance trading strategy named Entropy Oriented Trading and apply thermodynamics on the strategy. The state variables are chosen so that the strategy satisfies the second law of thermodynamics. Using the law, the author proves that the rate of investment (ROI) of the strategy is equal to or more than the rate of price change.
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PDF链接:
https://arxiv.org/pdf/0705.2820