摘要翻译:
我们将势力估计方法应用于确定性交易商模型产生的市场价格的人工时间序列。我们发现,经销商根据最新平均价格变化对市场价格进行线性预测的反馈在市场潜在力量中起着核心作用。当市场由具有正反馈的经销商主导时,所产生的潜在力量是排斥的,而负反馈的作用增强了吸引的潜在力量。
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英文标题:
《The Grounds For Time Dependent Market Potentials From Dealers' Dynamics》
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作者:
Kenta Yamada, Hideki Takayasu, Misako Takayasu
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最新提交年份:
2007
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Physics 物理学
二级分类:Data Analysis, Statistics and Probability
数据分析、统计与概率
分类描述:Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件:数据处理与存储;测量方法;统计和数学方面,如参数化和不确定性。
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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:
We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price based on the latest mean price changes plays the central role in the market's potential force. When markets are dominated by dealers with positive feedback the resulting potential force is repulsive, while the effect of negative feedback enhances the attractive potential force.
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PDF链接:
https://arxiv.org/pdf/0710.1729