摘要翻译:
我们引入了可解的随机交易商模型,它可以再现金融市场的基本经验规律,如价格变化的幂律。从几乎相当于泊松随机噪声发生器的最简单模型开始,该模型只添加了两个效应,即交易间隔的自我调节和预测趋势,该预测趋势使用最新市场价格变化的移动平均数,从而变得相当现实。在现有市场微观模型的基础上,我们发现了市场潜在力量与市场潜在力量之间的定量关系,这是最近在基于随机游动的市场价格建模研究中发现的。
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英文标题:
《Solvable Stochastic Dealer Models for Financial Markets》
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作者:
Kenta Yamada, Hideki Takayasu, Takatoshi Ito and Misako Takayasu
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最新提交年份:
2008
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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: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:
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects, the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which has recently been discovered in the study of market price modeling based on random walks.
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PDF链接:
https://arxiv.org/pdf/0809.0481