发帖
雷达卡
英文标题：
《Simple Stochastic Order-Book Model of Swarm Behavior in Continuous
Double Auction》
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作者：
Shingo Ichiki and Katsuhiro Nishinari
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最新提交年份：
2014
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英文摘要：
In this study, we present a simple stochastic order-book model for investors\' swarm behaviors seen in the continuous double auction mechanism, which is employed by major global exchanges. Our study shows a characteristic called \"fat tail\" is seen in the data obtained from our model that incorporates the investors\' swarm behaviors. Our model captures two swarm behaviors: one is investors\' behavior to follow a trend in the historical price movement, and another is investors\' behavior to send orders that contradict a trend in the historical price movement. In order to capture the features of influence by the swarm behaviors, from price data derived from our simulations using these models, we analyzed the price movement range, that is, how much the price is moved when it is continuously moved in a single direction. Depending on the type of swarm behavior, we saw a difference in the cumulative frequency distribution of this price movement range. In particular, for the model of investors who followed a trend in the historical price movement, we saw the power law in the tail of the cumulative frequency distribution of this price movement range. In addition, we analyzed the shape of the tail of the cumulative frequency distribution. The result demonstrated that one of the reasons the trend following of price occurs is that orders temporarily swarm on the order book in accordance with past price trends.
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中文摘要：
在这项研究中，我们提出了一个简单的随机订单簿模型，用于描述全球主要交易所采用的连续双重拍卖机制中的投资者群体行为。我们的研究表明，从我们的模型获得的数据中可以看到一个称为“肥尾”的特征，该模型包含了投资者的群体行为。我们的模型捕捉了两种群体行为：一种是投资者跟随历史价格运动趋势的行为，另一种是投资者发送与历史价格运动趋势相矛盾的指令的行为。为了捕捉群体行为影响的特征，我们从使用这些模型的模拟得出的价格数据中，分析了价格移动范围，即价格在单方向连续移动时的移动量。根据群体行为的类型，我们看到这个价格波动范围的累积频率分布存在差异。特别是，对于跟踪历史价格运动趋势的投资者模型，我们在这个价格运动范围的累积频率分布的尾部看到了幂律。此外，我们还分析了累积频率分布的尾部形状。结果表明，价格趋势跟随发生的原因之一是订单根据过去的价格趋势暂时聚集在订单簿上。
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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：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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