二分市场模型的危机和物理阶段

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英文标题：
《Crises and Physical Phases of a Bipartite Market Model》
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作者：
Nima Dehmamy, Sergey Buldyrev, Shlomo Havlin, Harry Eugene Stanley,
  Irena Vodenska
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最新提交年份：
2016
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英文摘要：
  We analyze the linear response of a market network to shocks based on the bipartite market model we introduced in an earlier paper, which we claimed to be able to identify the time-line of the 2009-2011 Eurozone crisis correctly. We show that this model has three distinct phases that can broadly be categorized as \"stable\" and \"unstable\". Based on the interpretation of our behavioral parameters, the stable phase describes periods where investors and traders have confidence in the market (e.g. predict that the market rebounds from a loss). We show that the unstable phase happens when there is a lack of confidence and seems to describe \"boom-bust\" periods in which changes in prices are exponential. We analytically derive these phases and where the phase transition happens using a mean field approximation of the model. We show that the condition for stability is $\\alpha \\beta <1$ with $\\alpha$ being the inverse of the \"price elasticity\" and $\\beta$ the \"income elasticity of demand\", which measures how rash the investors make decisions. We also show that in the mean-field limit this model reduces to the Langevin model by Bouchaud et al. for price returns.
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中文摘要：
我们分析了市场网络对冲击的线性响应，其基础是我们在之前的一篇论文中介绍的二分市场模型，我们声称该模型能够正确识别2009-2011年欧元区危机的时间线。我们表明，该模型有三个不同的阶段，大致可分为“稳定”和“不稳定”。根据我们对行为参数的解释，稳定阶段描述了投资者和交易员对市场有信心的时期（例如，预测市场从亏损中反弹）。我们表明，不稳定阶段发生在缺乏信心的时候，似乎描述了价格指数变化的“繁荣-萧条”时期。我们使用模型的平均场近似解析推导出这些相位以及相变发生的位置。我们表明，稳定的条件是$\\α\\β<1$，其中$\\α$是“价格弹性”的倒数，而$\\β$是“需求的收入弹性”，衡量投资者决策的鲁莽程度。我们还表明，在平均场极限下，对于价格回报，该模型简化为Bouchaud等人的Langevin模型。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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关键词：分市场 Exponential confidence parameters Analytical