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摘要翻译：
本文以交易量对股票市场交易量和价格波动的约束作用为出发点，研究了在给定交易量的情况下，交易量与价格之间的关系。我们发现，无论实际的价格波动路径、时间序列，还是该时间区间内的总交易量，当交易时间较长时，在一个交易价格区间内，累计交易量在价格均值附近逐渐出现峰度。为了解释交易量-价格行为，我们从物理学的角度提出了交易能量假说，导出了一个与时间无关的交易量-价格概率波动方程，得到了一个交易价格范围内的两组解析交易量分布特征函数。通过实证检验，我们证明了股票市场中一致性的存在，并证明了模型在早期阶段的有效性。量价表现为概率波动。
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英文标题：
《Does Security Transaction Volume-Price Behavior Resemble a Probability
Wave?》
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作者：
Leilei Shi (1)(2)(3) ((1)Department of Systems Science, School of
Management, Beijing Normal University (2) Complex System Research Group,
Department of Modern Physics, University of Science and Technology of China
(3) Generali-China Life Insurance Co., Ltd.)
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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：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：
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We find that accumulative trading volume gradually emerges a kurtosis near the price mean value over a trading price range when it takes a longer trading time, regardless of actual price fluctuation path, time series, or total transaction volume in the time interval. To explain the volume-price behavior, we, in terms of physics, propose a transaction energy hypothesis, derive a time-independent transaction volume-price probability wave equation, and get two sets of analytical volume distribution eigenfunctions over a trading price range. By empiric test, we show the existence of coherence in stock market and demonstrate the model validation at this early stage. The volume-price behaves like a probability wave.
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PDF链接：
https://arxiv.org/pdf/1001.0880
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