摘要翻译：
在建立金融指数时间演变的随机描述时，挑战在于设计一个与金融时间序列分析中出现的所有程式化事实兼容的模型，并为模拟此类序列提供可靠的基础。基于市场有效性的约束和标准简单标度的非齐次时间推广，我们提出了一个分析模型，该模型同时考虑了连续收益的线性解相关、波动率自相关函数对时间的幂律依赖以及与这种依赖相关的多重标度等实证结果。此外，我们的方法给出了一个合理的理由和定量评估的不可逆性质的指数动态。这种不可逆性作为一种新的指数演变模拟策略的关键因素，证明了模型的预测潜力。
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英文标题：
《Scaling and efficiency determine the irreversible evolution of a market》
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作者：
Fulvio Baldovin and Attilio L. Stella
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable basis for simulating such series. Based on constraints imposed by market efficiency and on an inhomogeneous-time generalization of standard simple scaling, we propose an analytical model which accounts simultaneously for empirical results like the linear decorrelation of successive returns, the power law dependence on time of the volatility autocorrelation function, and the multiscaling associated to this dependence. In addition, our approach gives a justification and a quantitative assessment of the irreversible character of the index dynamics. This irreversibility enters as a key ingredient in a novel simulation strategy of index evolution which demonstrates the predictive potential of the model.
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PDF链接：
https://arxiv.org/pdf/0807.2583