均衡定价模型对现实世界的扭曲有多敏感？

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摘要翻译：
在金融学和经济学中，定量模型通常是作为孤立的数学对象来研究的--最常由关于合理性、效率和不平衡调节机制的存在的非常简化的假设来定义。这就提出了一个重要的问题，即这种模型对违反假设的现实世界的影响有多敏感。我们展示了由反常激励引起的理性行为的后果，以及行为经济学家所识别的各种非理性倾向，是如何被系统地、一致地引入一个基于代理的金融资产模型的。这就产生了一类模型，在不存在这种影响的特殊情况下，这些模型简化为几何布朗运动--通常的均衡定价模型。因此，我们能够对一个广泛使用的均衡定价模型市场进行数值扰动，并研究其稳定性。实际市场中这种扰动的大小是可以估计的，模拟表明，这远远超出了平衡解的稳定范围，而平衡解不再被观察到。实际上，由内生动力产生的价格波动与实际资产价格的过度峰度和异方差基本一致。该方法是在金融市场的背景下提出的。然而，它与微观经济学和宏观经济学的概念和理论有着密切的联系，包括理性预期、索罗斯的反身性理论和明斯基的金融不稳定理论。
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英文标题：
《How sensitive are equilibrium pricing models to real-world distortions?》
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作者：
Harbir Lamba
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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：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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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：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：
  In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium adjustment mechanisms. This raises the important question of how sensitive such models might be to real-world effects that violate the assumptions. We show how the consequences of rational behavior caused by perverse incentives, as well as various irrational tendencies identified by behavioral economists, can be systematically and consistently introduced into an agent-based model for a financial asset. This generates a class of models which, in the special case where such effects are absent, reduces to geometric Brownian motion --- the usual equilibrium pricing model. Thus we are able to numerically perturb a widely-used equilibrium pricing model market and investigate its stability. The magnitude of such perturbations in real markets can be estimated and the simulations imply that this is far outside the stability region of the equilibrium solution, which is no longer observed. Indeed the price fluctuations generated by endogenous dynamics, are in good general agreement with the excess kurtosis and heteroskedasticity of actual asset prices. The methodology is presented within the context of a financial market. However, there are close links to concepts and theories from both micro- and macro-economics including rational expectations, Soros' theory of reflexivity, and Minsky's theory of financial instability.
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PDF链接：
https://arxiv.org/pdf/1010.0027

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关键词：定价模型 Quantitative Expectations Fluctuations Mathematical model 激励 联系 研究 market