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英文标题：
《A Thermodynamic Picture of Financial Market and Model Risk》
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作者：
Yu Feng
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最新提交年份：
2019
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英文摘要：
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused by model uncertainty is regarded as a result of the interaction between financial market and external information sources. This forms a thermodynamic picture in which a closed system interacts with an external reservoir, reaching its equilibrium at the worst-case scenario. The severity of the worst-case scenario depends on the rate of heat dissipation, caused by information sources reducing the entropy of the system. This thermodynamic picture leads to simple and natural derivation of the characterization rules of the worst-case risk, and gives its Lagrangian and Hamiltonian forms. With its help financial practitioners may evaluate risks utilizing both equilibrium and non-equilibrium thermodynamics.
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中文摘要：
通过将金融市场视为一个热力学系统，我们在热力学变量和经济量之间建立了一对一的对应关系。以最坏情况下的预期损失衡量，模型不确定性导致的金融风险被视为金融市场与外部信息源相互作用的结果。这形成了一幅热力学图，其中封闭系统与外部水库相互作用，在最坏情况下达到平衡。最坏情况的严重性取决于信息源降低系统熵所导致的热耗散率。这幅热力学图简单而自然地导出了最坏情况风险的表征规则，并给出了其拉格朗日形式和哈密顿形式。在它的帮助下，金融从业者可以利用平衡和非平衡热力学来评估风险。
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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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