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市场冲击与动量交易的自我强化反馈

文章 arXiv papers · 作者: Li-Xin Zhong et al.
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总结

本文利用基于智能体的模型研究市场冲击和动量交易者如何影响价格波动与交易策略。核心发现是，动量的影响取决于市场冲击程度。冲击较低时，动量交易者对价格波动影响不大，却可能打破趋势跟随策略与趋势反转策略之间的平衡，促使羊群行为和自我强化反馈循环出现。

市场冲击较高时，动量交易者会加大价格波动。理性智能体的趋势跟随行为受到抑制，而动量交易者的趋势跟随行为增强；群体—反群体行为则会产生负反馈。理论分析将这些模式与交易者结果联系起来：冲击较低时，趋势跟随者会从多数行为中获益；冲击较高时，则会因少数行为而亏损。这些机制基于模型；本文未描述实证市场验证，也未量化区分不同情形的条件。

核心观点

  • 基于智能体的模型结合市场冲击与动量交易，研究反馈循环。
  • 市场冲击较低时，趋势跟随型羊群行为可能产生自我强化反馈。
  • 市场冲击较高时，波动率上升，负反馈占主导。
  • 模型将策略流行程度与趋势跟随者作为多数获益、作为少数亏损的情况联系起来。

标签

市场微观结构动量趋势跟踪风险管理
全文
# Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders


# Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders









By incorporating market impact and momentum traders into an agent-based model, we investigate the conditions for the occurrence of self-reinforcing feedback loops and the coevolutionary mechanism of prices and strategies. For low market impact, the price fluctuations are originally large. The existence of momentum traders has little impact on the change of price fluctuations but destroys the equilibrium between the trend-following and trend-rejecting strategies. The trend-following herd behaviors become dominant. A self-reinforcing feedback loop exists. For high market impact, the existence of momentum traders leads to an increase in price fluctuations. The trend-following strategies of rational individuals are suppressed while the trend-following strategies of momentum traders are promoted. The crowd-anticrowd behaviors become dominant. A negative feedback loop exists. A theoretical analysis indicates that, for low market impact, the majority effect is beneficial for the trend-followers to earn more, which in turn promotes the trend-following strategies. For high market impact, the minority effect causes the trend-followers to suffer great losses, which in turn suppresses the trend-following strategies.

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。