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数量行为金融学的定义：
Quantitativebehavioral finance is a new discipline that uses mathematical and statisticalmethodology to understand behavioral biases in conjunction with valuation. Someof this endeavor has been led by Gunduz Caginalp (Professor of Mathematics andEditor of Journal of Behavioral Finance during 2001–2004) and collaborators includingVernon Smith (2002 Nobel Laureate in Economics), David Porter, Don Balenovich,Vladimira Ilieva, Ahmet Duran, Huseyin Merdan). Studies by Jeff Madura , Ray Sturm and others have demonstrated significantbehavioral effects in stocks and exchange traded funds.
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Abstract
Firstly, theasynchronous discrete cadlag feature of price and order time series demandscausal structuring. We determine the waiting time between two successive marketevents by an approach that might be named doubly stochastic Markov process,analogously to doubly stochastic Poisson process. The assumption of atime-continuous and -homogeneous conservative Markov process leads to waitingtimes following an exponential distribution. Its state dependent parameter isgoverned by the dynamics of the Markovprocess. Secondly, in our model the state transition is not constant, butcontrolled by the probability that the actingagent takes the action which generates the transition. Thirdly, the probability for placing buy or sell orders is determinedaccording to the willingness to pay concept of discrete choice models based onrandom utility. The causal foundation of the model relies on the basicprinciple: The higher the utility of an activity, the higher the probability oftaking this activity, and the shorter the expected waiting time. Simulatedprice and order time series are presented. Keywords: Doubly Stochastic MarkovProcess; Random Utility Maximization; Interacting agents; Market Microstructure;Order book simulation; Quantitative-Behavioural Finance
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