跳至正文
返回文库全部文档

财富博弈模型中的趋势引领者与价格振荡

文章 arXiv papers · 作者: W. Y. Cheung et al.
阅读原文

总结

本文分析一个名为“财富博弈”的简化基于智能体的市场中的价格行为。模型移除了做市商，迫使多数交易者限制股票交易，以维持总供需平衡。其余策略包括乐观和悲观的基本面投资者以及趋势跟随者，从而可以在简化环境中研究这些交易者类型的相互作用。

作者发现了从趋势引领者主导状态到价格反弹振荡状态的动态相变。他们利用半实证分析考察价格敏感度和市场冲击如何影响这一转变，并解释其机制、确定相界。作者还发现，随着趋势跟随策略占比上升，市场也会发生转变，并以宏观层面的供需平衡加以解释。这些结果反映的是风格化模型的行为；描述没有针对真实市场的实证验证，也未提供相界的定量细节，因此无法据此确定交易资产何时会出现类似状态。

核心观点

  • 该模型研究趋势跟随者与乐观或悲观基本面投资者之间的相互作用。
  • 移除做市商后，多数交易者会限制交易以维持供需平衡。
  • 价格敏感度和市场冲击会影响趋势状态与反弹状态之间的转变。
  • 作者使用半实证分析解释并确定相界。
  • 在简化市场中，趋势跟随策略占比提高也会引发状态转变。

标签

股票趋势跟踪市场微观结构统计学
全文
# Price Trends in a Simplified Model of the Wealth Game


# Price Trends in a Simplified Model of the Wealth Game









We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are forced to reduce the amount of stocks they trade, in order to have a balance in the supply and demand. The strategy space is also simplified so that the market is only left with strategies resembling the decisions of optimistic or pessimistic fundamentalists and trend-followers in the real stock market. A dynamical phase transition between a trendsetters' phase and a bouncing phase is discovered in the space of price sensitivity and market impact. Analysis based on a semi-empirical approach explains the phase transition and locates the phase boundary. A phase transition is also observed when the fraction of trend-following strategies increases, which can be explained macroscopically by matching the supply and demand of stocks.

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。