跳至正文
返回文库全部文档

自指交易反馈、市场惯例与过度反应

文章 arXiv papers · 作者: Matthieu Wyart et al.
阅读原文

总结

本文建立模型，研究交易者如何根据历史数据估计市场信息与价格之间的相关性，并利用这些相关性指导交易，从而形成反馈。当足够多的智能体依据估计出的关系采取行动时，其订单会改变价格，进而改变它们原本依赖的相关性。这种反馈可能破坏原本有效的市场行为。

模型预测，超过某个阈值后，非零相关性会自发出现，市场会在持续存在的状态（或惯例）之间切换。当价格历史是信息来源时，这些状态对应趋势跟随和逆向、均值回归行为。作者将惯例阶段与过度反应和可能相当显著的超额波动联系起来，并报告实证证据称此类状态可能在真实市场持续数十年。现有描述没有说明相关证据的数据集或估计方法，因此不能证明交易者能够可靠地识别或利用这些状态。

核心观点

  • 依据历史估计相关性采取行动的交易者，可能改变用于估计这些相关性的价格。
  • 反馈足够强时，市场可能从有效行为转向持续存在的市场惯例。
  • 当价格本身是信号时，市场惯例可能呈现趋势跟随或逆向形式。
  • 模型将这些状态与过度反应和超额波动联系起来。
  • 作者引用了真实市场中长期存在的惯例证据，但摘要没有给出数据或识别细节。

标签

统计学趋势跟踪均值回归波动率市场微观结构
全文
# Self-referential behaviour, overreaction and conventions in financial markets


# Self-referential behaviour, overreaction and conventions in financial markets









We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and the price itself. This correlation is estimated using the past history itself, and is used by a fraction of agents to devise active trading strategies. The impact of these strategies on the price modify the observed correlations. A potentially unstable feedback loop appears and destabilizes the market from an efficient behaviour. For large enough feedbacks, we find a `phase transition' beyond which non trivial correlations spontaneously set in and where the market switches between two long lived states, that we call conventions. This mechanism leads to overreaction and excess volatility, which may be considerable in the convention phase. A particularly relevant case is when the source of information is the price itself. The two conventions then correspond then to either a trend following regime or to a contrarian (mean reverting) regime. We provide some empirical evidence for the existence of these conventions in real markets, that can last for several decades.

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。