摘要翻译:
在本文中,我们继续系统地分析了以前在经济背景下提出的操作方法,并讨论了一个简化股票市场的{\em混合}玩具模型,即一个以股票价格为输入的模型。我们推导了市场上各种交易者的投资组合的时间演化,以及其他{\em可观察}量的时间演化。与前文一样,我们用{\em类不动点}近似求解运动方程。
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英文标题:
《Simplified stock markets described by number operators》
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作者:
F. Bagarello
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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英文摘要:
In this paper we continue our systematic analysis of the operatorial approach previously proposed in an economical context and we discuss a {\em mixed} toy model of a simplified stock market, i.e. a model in which the price of the shares is given as an input. We deduce the time evolution of the portfolio of the various traders of the market, as well as of other {\em observable} quantities. As in a previous paper, we solve the equations of motion by means of a {\em fixed point like} approximation.
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PDF链接:
https://arxiv.org/pdf/0904.3213