摘要翻译:
发展对非均匀时间过程--特别是某些集体动力系统中的等待时间--的更坚定的理论理解的目标吸引了物理学家的极大兴趣。将等待时间分布中的偏差从随机过程中产生的偏差量化,可能有助于解开驱动潜在动力学的反馈机制。我们分析了高频外汇数据的等待时间分布,以求所有主要货币的最佳可执行买卖价格。我们发现,如果将短等待时间和长等待时间都包括在内,对数正态分布对货币汇率变化之间的等待时间分布具有很好的总体拟合。如果我们将我们的研究限制在长等待时间,每个货币对的分布符合幂律尾,指数接近3.5。然而,对于较短的等待时间,总体分布类似于由一个典型的复杂系统模型产生的分布,在该模型中,有界理性的主体为有限的资源而竞争。我们的发现表明,交易行为在一个快速机制和一个较慢机制之间逐渐过渡,在这个快速机制中,交易者以有界理性的方式行事,在这个较慢机制中,交易者的决策由跨多个时间尺度的一般反馈机制驱动,因此无论货币类型如何,都会产生类似的幂律尾。
---
英文标题:
《Transition in the Waiting-Time Distribution of Price-Change Events in a
Global Socioeconomic System》
---
作者:
Guannan Zhao, Mark McDonald, Dan Fenn, Stacy Williams and Neil F.
Johnson
---
最新提交年份:
2012
---
分类信息:
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
--
一级分类:Physics 物理学
二级分类:Statistical Mechanics 统计力学
分类描述:Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变,热力学,场论,非平衡现象,重整化群和标度,可积模型,湍流
--
---
英文摘要:
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the deviations in the waiting-time distribution away from one generated by a random process, may help unravel the feedback mechanisms that drive the underlying dynamics. We analyze the waiting-time distributions of high frequency foreign exchange data for the best executable bid-ask prices across all major currencies. We find that the lognormal distribution yields a good overall fit for the waiting-time distribution between currency rate changes if both short and long waiting times are included. If we restrict our study to long waiting-times, each currency pair's distribution is consistent with a power law tail with exponent near to 3.5. However for short waiting times, the overall distribution resembles one generated by an archetypal complex systems model in which boundedly rational agents compete for limited resources. Our findings suggest a gradual transition arises in trading behavior between a fast regime in which traders act in a boundedly rational way, and a slower one in which traders' decisions are driven by generic feedback mechanisms across multiple timescales and hence produce similar power-law tails irrespective of currency type.
---
PDF链接:
https://arxiv.org/pdf/1212.2189