发帖
雷达卡
摘要翻译：
我们研究了金融市场的一个程式化模型中，当不同的市场参与者根据不同的（局部）市场度量计算价格时，不稳定性的出现。我们利用从无序系统统计力学中借用的技术，导出了大随机市场系综的典型性质。我们表明，根据可用的金融工具的数量和当地措施的异质性，市场从无套利阶段进入不稳定阶段，在这个阶段，市场的复杂性--用金融工具的多样性来衡量--增加，套利机会出现。一个急剧的转变将这两个阶段分开。集中在两个不同类别的本地措施启发真实的市场策略，我们能够分析计算临界线，并证实我们的发现与数值模拟。
---
英文标题：
《Financial instability from local market measures》
---
作者：
Marco Bardoscia, Giacomo Livan, Matteo Marsili
---
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：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
--
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：
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random markets using techniques borrowed from statistical mechanics of disordered systems. We show that, depending on the number of financial instruments available and on the heterogeneity of local measures, the market moves from an arbitrage-free phase to an unstable one, where the complexity of the market - as measured by the diversity of financial instruments - increases, and arbitrage opportunities arise. A sharp transition separates the two phases. Focusing on two different classes of local measures inspired by real markets strategies, we are able to analytically compute the critical lines, corroborating our findings with numerical simulations.
---
PDF链接：
https://arxiv.org/pdf/1207.0356
京公网安备 11010802022788号
