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摘要翻译：
正如最近的金融危机所表明的那样，监管机构需要更多的分析工具来评估金融部门的系统性风险。本文描述了一个这样的工具；即具有新颖的市场建模和分析能力。我们的模型建立在两个主要的市场模型之上：一个强调市场微观结构，另一个强调交易策略生态。我们解决了市场建模的一个局限性，即只考虑一种主导的交易策略（即多头头寸）。我们的模型与金融市场的几个广泛持有的程式化事实密切一致。这一工作的最后一个贡献来自于我们对经验市场和我们的市场模型的分形性质的实证分析。
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英文标题：
《Adding to the Regulator's Toolbox: Integration and Extension of Two
Leading Market Models》
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作者：
Brian Tivnan, Matthew Koehler, Matthew McMahon, Matthew Olson, Neal
Rothleder, Rajani Shenoy
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最新提交年份：
2011
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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：
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability. Our model builds upon two leading market models: one which emphasizes market micro-structure and another which emphasizes an ecology of trading strategies. We address a limitation of market modeling, namely the consideration of only one dominant trading strategy (i.e., long positions). Our model aligns closely with several widely held stylized facts of financial markets. And a final contribution of this work stems from our empirical analysis of the fractal nature of both empirical markets and our market model.
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PDF链接：
https://arxiv.org/pdf/1105.5439
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