半封闭定价机制

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摘要翻译：
本文旨在设计一个半封闭模拟股票市场的不同重要组成部分（定价机制、股票分配和新闻生成）。其目的是了解“半封闭”系统中不同方面的相互作用。系统的复杂性和性质导致了定价机制的修改过程，从不同于经典布朗运动和随机游动模型的角度来看待定价机制。然而，它结合了这两个基本理论的精髓，然后研究了投资者行为与新闻反馈的关系矩阵。本文还探讨了随机生成的新闻领域中参与者的反应，以确定理性和非理性行为。这是通过不压缩实验中的时间和观察协调和不协调的行为来实现的。重点研究了修正后的定价方程如何适应半封闭股票市场的条件和唯一性。因此，本文研究了一个简单的市场系统，其中股票价格的主要决定因素是新闻、需求和供应，以及一些外部力量的过滤，如何影响投资者在投资组合构成方面的行为。然后，可以将收益率分布规定为有理或非理轨迹，然后通过提出的修正布朗运动模型模拟和匹配到特定时间段和市场的经验收益率分布。
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英文标题：
《Semiclosed Pricing Mechanism》
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作者：
Dr.Gurjeet Dhesi, Mohammad Abdul Washad Emambocus, Muhammad Bilal
  Shakeel
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最新提交年份：
2012
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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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英文摘要：
  This paper aims at designing the different important components of a semi-closed simulated stock market (pricing mechanism, stock allocation and news generation). The purpose is to understand the interactions of the different aspects within a 'semi-closed' system. The complexity and nature of the system led to the process of modifying the pricing mechanism which is viewed from a different angle to the classical Brownian Motion and the Random Walk model. However, it incorporates the essence of these two fundamental theories and then investigates the matrix of investors' behaviours in relation to news feedbacks. This paper also explores the realm of randomly generated news to the responses of participants to determine rational and irrational behaviours. This is carried out through uncompressing the time within the experiment and looking at concordant and disconcordant behaviour. The focus is on how the modified pricing equation adapts to the conditions and uniqueness surrounding a semi-closed stock market. Thus, this paper looks at how a simple market system where the main determinants of share prices are news, demand and supply along with some filtering of the external forces can affect the behaviours of investors in terms of their portfolio composition. The return distributions can then be stipulated as arising from rational or irrational trajectories and subsequently be simulated and matched via the proposed modified Brownian Motion model to empirical return distributions in specific time periods and markets.
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PDF链接：
https://arxiv.org/pdf/1112.0342

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关键词：定价机制 distribution Participants interactions Quantitative 有理 收益率 different model 方面