市场如何缓慢地消化供求变化

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摘要翻译：
在这篇文章中，我们从微观结构的角度重新讨论了价格形成中的经典问题，回顾了最近解释供求波动如何缓慢地纳入价格的理论和实证工作。由于显示的市场流动性极低，大量的买卖订单只能在长达数月的时间内增量交易。因此，订单流是一个高度持久化的长内存过程。保持与市场效率的相容性对价格形成、流动性的动态和影响的性质有着深远的影响。我们回顾了一个关于市场影响的量和时间依赖性、买卖价差、订单动态和波动性的详细定量预测的理论体。与数据的比较产生了一些令人鼓舞的成功。这一框架提出了对金融信息的一种新的解释，在这种解释中，代理人充其量只是微弱的信息，所有人都对价格产生了相似的、极其嘈杂的影响。大多数经过处理的信息似乎来自供需本身，而不是来自外部消息。这里回顾的思想与市场微观结构调节、基于Agent的模型、成本最优执行策略和理解市场生态有关。
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英文标题：
《How markets slowly digest changes in supply and demand》
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作者：
Jean-Philippe Bouchaud, J. Doyne Farmer, Fabrizio Lillo
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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：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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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：
  In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large orders to buy or sell can only be traded incrementally, over periods of time as long as months. As a result order flow is a highly persistent long-memory process. Maintaining compatibility with market efficiency has profound consequences on price formation, on the dynamics of liquidity, and on the nature of impact. We review a body of theory that makes detailed quantitative predictions about the volume and time dependence of market impact, the bid-ask spread, order book dynamics, and volatility. Comparisons to data yield some encouraging successes. This framework suggests a novel interpretation of financial information, in which agents are at best only weakly informed and all have a similar and extremely noisy impact on prices. Most of the processed information appears to come from supply and demand itself, rather than from external news. The ideas reviewed here are relevant to market microstructure regulation, agent-based models, cost-optimal execution strategies, and understanding market ecologies.
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PDF链接：
https://arxiv.org/pdf/0809.0822

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关键词：Quantitative Fluctuations Consequences QUANTITATIV information 买卖 回顾 理论 demand 价格