连续市场中基于Agent模型的统计性质 双重拍卖机制

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摘要翻译：
现实世界的市场在诸如股票价格波动等变量中表现出幂律特征。为了进一步了解市场行为，我们在基于Web的预测市场平台上进行了一系列的市场实验，该平台允许我们重构交易者之间的交易网络。从这些网络中，我们能够记录交易者的程度、交易者群体的规模、交易者之间的交易时间间隔以及其他感兴趣的变量。所有这些变量的分布都表现出幂律行为。另一方面，基于Agent的模型被提出来研究真实金融市场的性质。我们在这里研究了这些基于Agent的模型的统计特性，并将它们与我们基于Web的市场实验的结果进行了比较。本文研究了三种基于Agent的模型，即零智能模型(ZI)、零智能模型(ZIP)和Gjerstad-Dickhaut模型(GD)。基于这三个基于Agent的模型对变量进行了计算机模拟。我们发现，尽管ZI是最幼稚的基于代理的模型，但它确实最好地描述了在实际市场中观察到的特性。我们的研究表明，从真实世界市场中产生观察到的性质的基本成分实际上可能是一个持续演化的动力系统的结果，其基本特征类似于ZI模型。
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英文标题：
《Statistical properties of agent-based models in markets with continuous
  double auction mechanism》
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作者：
Jie-Jun Tseng, Chih-Hao Lin, Chih-Ting Lin, Sun-Chong Wang, Sai-Ping
  Li
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最新提交年份：
2010
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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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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which allows us to reconstruct transaction networks among traders.   From these networks, we are able to record the degree of a trader, the size of a community of traders, the transaction time interval among traders and other variables that are of interest. The distributions of all these variables show power-law behavior. On the other hand, agent-based models have been proposed to study the properties of real financial markets. We here study the statistical properties of these agent-based models and compare them with the results from our web-based market experiments. In this work, three agent-based models are studied, namely, zero-intelligence (ZI), zero-intelligence-plus (ZIP) and Gjerstad-Dickhaut (GD). Computer simulations of variables based on these three agent-based models were carried out. We found that although being the most naive agent-based model, ZI indeed best describes the properties observed in real markets. Our study suggests that the basic ingredient to produce the observed properties from real world markets could in fact be the result of a continuously evolving dynamical system with basic features similar to the ZI model.
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PDF链接：
https://arxiv.org/pdf/1002.0917

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关键词：agent Age Quantitative Intelligence distribution 进行 基于 双重 market 市场