发帖
雷达卡
摘要翻译：
通过将市场冲击和非对称敏感性引入演化少数博弈，研究了金融市场中股票价格和投资策略的协同演化动力学。股票价格的变动和投资者的全球行为都与其所处的阶段区域密切相关。在市场影响较小的区域内，投资者对收益和损失的非对称反应导致羊群行为的发生，当所有投资者都容易以类似的极端方式出现，价格出现较大的波动。股票价格变动的标准差与策略均值之间存在线性关系。在充分的市场冲击下，投资者往往会自我分离成对立的群体，非对称敏感性的引入导致主导策略的消失。与对市场影响较小的股票市场相比，股票价格波动得到抑制，形成有效市场。理论分析表明，该模型中从聚集到自我分离的相变机制类似于多数-少数博弈，有效市场的发生和消失与趋势跟随力量和趋势厌恶力量之间的竞争有关。模型中的策略聚类是多数赢效应的结果，财富驱动机制使市场变得可预测。
---
英文标题：
《Coupled effects of market impact and asymmetric sensitivity in financial
markets》
---
作者：
Li-Xin Zhong, Wen-Juan Xu, Fei Ren, Yong-Dong Shi
---
最新提交年份：
2013
---
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：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。
--
---
英文摘要：
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors' asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority-minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable.
---
PDF链接：
https://arxiv.org/pdf/1209.3399
京公网安备 11010802022788号
