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摘要翻译：
一维粒子相互作用的远平衡模型是模拟股票市场波动的基础。粒子类型和它们的位置被解释为在订单簿中的价格轴上下的买卖订单。我们从Bak-Paczuski-Shubik模型开始，回顾了一些对已知模型的修改。我们研究了40年的斯蒂格勒模型，并研究了它的变体。其中之一是热那亚人工市场的简化版。所研究的模型列表由Maslov和Daniels等人的模型完成。一般而言，在所有情况下，我们比较了收益分布、绝对收益自相关性和赫斯特指数的值。结果表明，没有一个模型能令人满意地再现所有的经验数据，但最有希望进一步发展的候选模型是热那亚人工市场和中等阶数蒸发的马斯洛夫模型。
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英文标题：
《Critical comparison of several order-book models for stock-market
fluctuations》
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作者：
Frantisek Slanina
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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：
Far-from-equilibrium models of interacting particles in one dimension are used as a basis for modelling the stock-market fluctuations. Particle types and their positions are interpreted as buy and sell orders placed on a price axis in the order book. We revisit some modifications of well-known models, starting with the Bak-Paczuski-Shubik model. We look at the four decades old Stigler model and investigate its variants. One of them is the simplified version of the Genoa artificial market. The list of studied models is completed by the models of Maslov and Daniels et al. Generically, in all cases we compare the return distribution, absolute return autocorrelation and the value of the Hurst exponent. It turns out that none of the models reproduces satisfactorily all the empirical data, but the most promising candidates for further development are the Genoa artificial market and the Maslov model with moderate order evaporation.
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PDF链接：
https://arxiv.org/pdf/0801.0631
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