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延迟异质交易策略与金融市场动态

文章 arXiv papers · 作者: Giuseppe Garofalo et al.
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总结

本文提出一个连续时间市场模型，由做市商撮合基本面投资者、趋势跟随者和反向交易者之间的交易。不同参与者处理市场信息的延迟不同，风险厌恶程度也取决于路径。模型还允许投资者通过演化机制，在趋势跟随策略和反向策略之间切换。

作者报告称，系统会呈现周期、准周期和混沌行为，技术交易者之间也会出现同步。模拟收益表现出与标普 500 观察到的特征相似的性质，包括超额峰度、波动聚集和长记忆。这些是模型生成的性质，并非可部署交易策略或样本外预测表现的证据；本文没有提供校准细节或实证交易结果。

核心观点

  • 市场模型包含基本面投资者、趋势跟随者和反向交易者。
  • 投资者根据存在不同时间延迟的信息采取行动，且风险厌恶程度取决于路径。
  • 演化过程允许投资者在趋势跟随策略和反向策略之间切换。
  • 模型会产生周期、准周期和混沌动态。
  • 模拟收益重现了与标普 500 相关的若干统计特征。

标签

股票趋势跟踪统计学波动率
全文
# Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays


# Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays









In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with different time delays. Each class of investor is characterized by path dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders. Furthermore, the model is able to generate time series of returns that exhibit statistical properties similar to those of the S&P500 index, which is characterized by excess kurtosis, volatility clustering and long memory

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。