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摘要翻译：
本文引入了一个随机异质交互主体模型，研究了资产市场中超额需求和价格的短期非均衡演化。我们考虑了同辈群体中的社会互动和单个异质的原教旨主义交易决策的结合，这些交易决策考虑了市场价格和感知的资产基本价值。由此产生的过度需求与市场价格相耦合。严格的分析表明，这种反馈可能导致价格振荡、单次反弹或单调的价格行为。该模型是一个罕见的分析可处理的交互代理模型的例子，它允许我们详细地推导出这些不同的集体模式的起源。对于初始分布的自然选择，其结果独立于建模代理对等网络的图结构，代理的决策相互影响。
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英文标题：
《Short-time behaviour of demand and price viewed through an exactly
solvable model for heterogeneous interacting market agents》
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作者：
Gunter M. Sch\"utz, Fernando Pigeard de Almeida Prado, Rosemary J.
Harris, Vladimir Belitsky
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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：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：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
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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 introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows us to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution the results are independent of the graph structure that models the peer network of agents whose decisions influence each other.
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PDF链接：
https://arxiv.org/pdf/801.0003
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