股票市场波动的捕食者-食饵模型

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摘要翻译：
本文提出了一个金融资产价格演化的动态模型。该模型基于两级结构。在第一阶段，我们发现了一个基于代理的模型，它描述了投资者的信念、观点或策略的现状。该动力学受描述捕食者-被捕食者种群演化模型的启发：agents通过自我或相互的相互作用改变他们的想法，决策是在随机的基础上采取的，不受价格本身的直接影响。这种系统最吸引人的特性之一是，具有相同观点的代理人数量存在巨大的振荡，这可能与金融市场中的看涨期和看跌期的存在有关。在第二阶段，有一个定价机制，它将由不同投资者群体中的相对人口驱动。价格方程将取决于物种的具体性质，因此它可能从一个市场变化到另一个市场：我们将首先提出一个简单的过度需求模型，然后考虑一个更详细的流动性模型。对两种模型的结果进行了分析和比较。
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英文标题：
《Predator-Prey Model for Stock Market Fluctuations》
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作者：
Miquel Montero
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最新提交年份：
2009
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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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英文摘要：
  We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs, perspectives or strategies. The dynamics is inspired by a model for describing predator-prey population evolution: agents change their mind through self- or mutual interaction, and the decision is adopted on a random basis, with no direct influence of the price itself. One of the most appealing properties of such a system is the presence of large oscillations in the number of agents sharing the same perspective, what may be linked with the existence of bullish and bearish periods in financial markets. In the second stage one has the pricing mechanism, which will be driven by the relative population in the different investors' groups. The price equation will depend on the specific nature of the species, and thus it may change from one market to the other: we will firstly present a simple model of excess demand, and subsequently consider a more elaborate liquidity model. The outcomes of both models are analysed and compared.
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PDF链接：
https://arxiv.org/pdf/0810.4844

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关键词：股票市场 股票市 Quantitative Fluctuations Perspectives 投资者 present 人口 population 价格