发帖
雷达卡
摘要翻译：
这篇文章旨在回顾最近的经验和理论发展，通常分组在术语经济物理学。自1995年经济学和物理学两个词合二为一而被命名以来，这一新兴的交叉学科领域已经朝着不同的方向发展：理论宏观经济学（财富分配）、金融市场微观结构（订单模型）、金融泡沫和崩溃计量经济学等。在回顾的第一部分，我们讨论了经济物理学的产生。然后通过实证研究揭示了金融时间序列的统计特性。我们从广泛公认的描述金融资产回报的程式化事实开始--肥尾、波动性聚类、自相关等--并回顾其中一些属性与考虑时间的方式直接相关。我们继续讨论在金融市场的订单账簿上观察到的统计性质。为了说明这篇评论，（几乎）所有陈述的事实都是使用我们自己的高频金融数据库复制的。最后介绍了随机矩阵理论和图论对资产相关性研究的贡献。在回顾的第二部分，我们通过基于Agent的建模的观点来处理经济物理学中的模型。在众多的基于多Agent的模型中，我们确定了三个具有代表性的领域。首先，利用先前在行为金融学和市场微观结构理论领域提出的工作，经济物理学家开发了基于代理的订单驱动市场模型，在这里得到了广泛的介绍。其次，回顾了用来解释财富分配经验事实的动力学理论模型。第三，通过对目前经典的少数人博弈及其相关问题的回顾，对博弈论模型进行了简要的总结。
---
英文标题：
《Econophysics: Empirical facts and agent-based models》
---
作者：
Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca and Frederic
Abergel
---
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：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--
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
--
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：
This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words Economics and Physics, this new interdisciplinary field has grown in various directions: theoretical macroeconomics (wealth distributions), microstructure of financial markets (order book modelling), econometrics of financial bubbles and crashes, etc. In the first part of the review, we discuss on the emergence of Econophysics. Then we present empirical studies revealing statistical properties of financial time series. We begin the presentation with the widely acknowledged stylized facts which describe the returns of financial assets- fat tails, volatility clustering, autocorrelation, etc.- and recall that some of these properties are directly linked to the way time is taken into account. We continue with the statistical properties observed on order books in financial markets. For the sake of illustrating this review, (nearly) all the stated facts are reproduced using our own high-frequency financial database. Finally, contributions to the study of correlations of assets such as random matrix theory and graph theory are presented. In the second part of the review, we deal with models in Econophysics through the point of view of agent-based modelling. Amongst a large number of multi-agent-based models, we have identified three representative areas. First, using previous work originally presented in the fields of behavioural finance and market microstructure theory, econophysicists have developed agent-based models of order-driven markets that are extensively presented here. Second, kinetic theory models designed to explain some empirical facts on wealth distribution are reviewed. Third, we briefly summarize game theory models by reviewing the now classic minority game and related problems.
---
PDF链接：
https://arxiv.org/pdf/0909.1974
京公网安备 11010802022788号
