摘要翻译：
市场磨盘是一种复杂的依赖模式，导致股票价格的日内动态具有非线性相关性和可预测性。本文结合前人的研究成果，建立了一个反映市场非对称性的动态模型。我们证明了条件动力学在单个时间尺度上的某些性质，如条件概率分布的非对称生成分量的特征形状，导致了“初等”市场磨坊模式。这种非对称性的产生成分与从市场数据中得到的经验分布相匹配。我们将这些特性作为市场代理人使用的趋势保持和逆势策略的混合来讨论。概括了三种典型的个股不对称模式。多个时间尺度的考虑使得所产生的“复合”轧机与经验市场轧机模式相似。多尺度模型也反映了市场的多主体性质。
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英文标题：
《Market Mill Dependence Pattern in the Stock Market: Multiscale
  Conditional Dynamics》
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作者：
Sergey Zaitsev, Alexander Zaitsev, Andrei Leonidov, Vladimir Trainin
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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：
  Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill asymmetries. We show that certain properties of the conditional dynamics at a single time scale such as a characteristic shape of an asymmetry generating component of the conditional probability distribution result in the "elementary" market mill pattern. This asymmetry generating component matches the empirical distribution obtained from the market data. We discuss these properties as a mixture of trend-preserving and contrarian strategies used by market agents. Three basic types of asymmetry patterns characterizing individual stocks are outlined. Multiple time scale considerations make the resulting "composite" mill similar to the empirical market mill patterns. Multiscale model also reflects a multi-agent nature of the market.
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PDF链接：
https://arxiv.org/pdf/0810.4409