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立方动量模型：周期性泡沫与崩盘

文章 arXiv papers · 作者: Naohiro Yoshida
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总结

本文提出一种简约的离散时间模拟，用于研究内生泡沫和周期性崩盘。该模型旨在呈现羊群行为与恐慌抛售如何相互作用，并以市场动量影响买卖力量的平衡。

立方动量函数在泡沫形成期间鼓励趋势跟随，并在动量超过临界阈值时触发骤然崩盘。交易频率也会随着动量累积而上升，这一机制的灵感来自自激 Hawkes 过程。模拟据称再现了非线性泡沫模式，包括价格和流动性同时上升后急剧崩落。这些是所提模型的模拟结果，并非该机制能够预测真实市场崩盘的证据；摘录没有提供校准、实证验证或参数细节。

核心观点

  • 离散时间模拟刻画内生泡沫的形成与破裂。
  • 动量的立方函数决定交易方向之间的平衡。
  • 泡沫阶段会出现趋势跟随，而超过某个阈值可能触发崩盘。
  • 受 Hawkes 过程启发的机制使交易频率随累积动量上升。
  • 所报告的支持来自模拟，而非实证验证。

标签

动量趋势跟踪市场微观结构统计学
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# Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum


# Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum









This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of locally explosive bubble dynamics, capturing the micro-level interplay of investor herd behavior and panic selling within a unified framework remains a challenge. Our model addresses this by introducing a cubic function of market momentum to determine the balance of trading directions. This mechanism drives both trend-following behavior during the bubble phase and sudden market crashes when the momentum exceeds a critical threshold. Furthermore, inspired by the self-exciting nature of the Hawkes process, the model endogenizes``market frenzy" by linking trading frequency directly to the accumulated momentum. Simulation results demonstrate that this minimal setup successfully replicates the complex, nonlinear dynamics of bubbles, including simultaneous surges in liquidity and price, followed by dramatic crashes.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。