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摘要翻译：
本文研究了市场中股票的连续时间动力学问题，其中Agent的行为分别用少数人博弈和大规范少数人博弈来建模。所导出的动力学为广义几何布朗运动；从Black&Scholes公式出发，利用特征参数对少数对策和大正则少数对策进行了标定。我们得出结论，对于两个博弈，特征参数接近临界参数的非对称阶段与期权隐含波动率市场是一致的。
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英文标题：
《From Minority Game to Black & Scholes pricing》
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作者：
Matteo Ortisi and Valerio Zuccolo
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最新提交年份：
2013
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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：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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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
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英文摘要：
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the Black & Scholes formula the calibration of both the Minority Game and the Grand Canonical Minority Game, by means of their characteristic parameters, is performed. We conclude that for both games the asymmetric phase with characteristic parameters close to critical ones is coherent with options implied volatility market.
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PDF链接：
https://arxiv.org/pdf/1205.2521
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