跳至正文
返回文库全部文档

以投资者行为与监管建模市场状态切换

文章 arXiv papers · 作者: V. I. Yukalov et al.
阅读原文

总结

本文档描述了一个异质智能体交易单一资产的连续时间模型。其二阶动态表示投资决策与交易之间的延迟。模型包含基于价值的均值回归、投机或逆向交易、市场摩擦、基本价值不确定性、动量效应，以及对错误定价的监管限制。模型产生均衡状态、持续存在的价格惯例和周期性行为。出现何种状态取决于价值策略与动量策略的平衡、基本面不确定性以及监管程度。随机价格路径可能会在状态之间自发切换。文中将这些结果作为所提框架的属性呈现；所提供的文本没有给出实证数据集、校准细节或量化检验，因此无法仅凭此描述评估其实际预测或交易价值。

核心观点

  • 二阶连续时间模型表示交易决策与投资之间的延迟。
  • 该框架结合价值驱动的均值回归、投机交易、动量、市场摩擦、不确定性和监管。
  • 均衡、持续存在的价格惯例和类似经济周期的价格行为可以并存。
  • 策略相对强度、基本面不确定性和监管会影响出现的市场状态。
  • 随机动态允许市场状态自发转换。

标签

统计学动量均值回归市场微观结构风险管理
全文
# Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles


# Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles









We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes into account (i) the price formation delay between decision and investment by the second-order nature of the dynamical equations, (ii) the linear and nonlinear mean-reversal or their contrarian in the form of speculative price trading, (iii) market friction, (iv) uncertainty in the fundamental value which controls the amplitude of mispricing, (v) nonlinear speculative momentum effects and (vi) market regulations that may limit large mispricing drifts. We find markets with coexisting equilibrium, conventions and business cycles, which depend on (a) the relative strength of value-investing versus momentum-investing, (b) the level of uncertainty on the fundamental value and (c) the degree of market regulation. The stochastic dynamics is characterized by nonlinear geometric random walk-like processes with spontaneous regime shifts between different conventions or business cycles. This model provides a natural dynamical framework to model regime shifts between different market phases that may result from the interplay between the effects (i-vi).

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。