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摘要翻译：
尽管在金融市场上有非常详细的数据，但基于Agent的建模由于缺乏关于真实交易者行为的信息而受到阻碍。这使得不可能验证基于代理的模型，因此这是反向工程尝试。这项工作是对建立一套关于交易者自己的程式化事实的贡献。本文利用瑞士最大的在线经纪商Swissquote银行的客户数据库，发现交易者的交易额、账户价值和资产数量之间的经验关系。一个基于简单均值-方差投资组合优化的理论，主要包括可变交易费用，能够忠实地再现观察到的行为。最后，我们认为我们的结果揭示了一个群体的集体能力来构造一个考虑交易费用结构的均值-方差投资组合
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英文标题：
《Turnover, account value and diversification of real traders: evidence of
collective portfolio optimizing behavior》
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作者：
David Morton de Lachapelle and Damien Challet
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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：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
Despite the availability of very detailed data on financial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempts. This work is a contribution to the building of a set of stylized facts about the traders themselves. Using the client database of Swissquote Bank SA, the largest on-line Swiss broker, we find empirical relationships between turnover, account values and the number of assets in which a trader is invested. A theory based on simple mean-variance portfolio optimization that crucially includes variable transaction costs is able to reproduce faithfully the observed behaviors. We finally argue that our results bring into light the collective ability of a population to construct a mean-variance portfolio that takes into account the structure of transaction costs
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PDF链接：
https://arxiv.org/pdf/0912.4723
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