发帖
雷达卡
摘要翻译：
在金融市场中，对于投资期限长或市场压力大的代理人来说，往往是资产价格的变化触发了交易或改变了投资头寸。这表明，使用价格阈值来模拟agent在比目前订单书模型更长的时间尺度上的行为。我们表明，许多在有效市场理论中经常被忽视的现象，可以系统地引入一个其他有效市场，从而产生稳健地复制最重要的程式化事实的模型。然后，我们证明了这种阈值模型和排队理论之间的密切联系，大的价格变化对应于单服务器队列的繁忙周期。在对队列参数的各种假设下，忙周期的分布具有超额峰度和非指数衰减。这种方法可能会在金融市场快速去杠杆化和恐慌的数学模型的发展以及金融机构的压力测试中证明是有用的。
---
英文标题：
《A queueing theory description of fat-tailed price returns in imperfect
financial markets》
---
作者：
H. Lamba
---
最新提交年份：
2010
---
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
--
---
英文摘要：
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of price thresholds to simulate agent behavior over much longer timescales than are currently used in models of order-books. We show that many phenomena, routinely ignored in efficient market theory, can be systematically introduced into an otherwise efficient market, resulting in models that robustly replicate the most important stylized facts. We then demonstrate a close link between such threshold models and queueing theory, with large price changes corresponding to the busy periods of a single-server queue. The distribution of the busy periods is known to have excess kurtosis and non-exponential decay under various assumptions on the queue parameters. Such an approach may prove useful in the development of mathematical models for rapid deleveraging and panics in financial markets, and the stress-testing of financial institutions.
---
PDF链接：
https://arxiv.org/pdf/0908.0949
京公网安备 11010802022788号
