摘要翻译：
我们回顾了市场的不稳定动态在很大程度上是内生起源的证据，即由交易活动本身决定，而不是由于对外生消息的合理处理。为了理解价格为什么和如何变化，订单流和流动性的联合波动--以及这些影响价格的方式--成为关键因素。影响是私人信息在价格中反映的必要条件，但同样，订单流的随机波动必然导致市场的波动。我们的论点是，后一种贡献实际上占主导地位，导致价格和基本价值之间的脱钩，至少在短期到中期时间尺度上是这样。我们认为，市场运行在一个消失的显性流动性，但巨大的潜在流动性的机制中，这将解释它们对波动的高度敏感性。更准确地说，我们发现买卖价差和波动性之间存在一个危险的反馈回路，这可能导致微观流动性危机和价格飙升。我们讨论了其他几个与解释市场危机相关的不稳定反馈环：模仿、不合理的数量模型、顺周期监管等。
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英文标题：
《The endogenous dynamics of markets: price impact and feedback loops》
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作者：
Jean-Philippe Bouchaud (CFM)
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最新提交年份：
2010
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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：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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英文摘要：
  We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and how prices move, the joint fluctuations of order flow and liquidity - and the way these impact prices - become the key ingredients. Impact is necessary for private information to be reflected in prices, but by the same token, random fluctuations in order flow necessarily contribute to the volatility of markets. Our thesis is that the latter contribution is in fact dominant, resulting in a decoupling between prices and fundamental values, at least on short to medium time scales. We argue that markets operate in a regime of vanishing revealed liquidity, but large latent liquidity, which would explain their hyper-sensitivity to fluctuations. More precisely, we identify a dangerous feedback loop between bid-ask spread and volatility that may lead to micro-liquidity crises and price jumps. We discuss several other unstable feedback loops that should be relevant to account for market crises: imitation, unwarranted quantitative models, pro-cyclical regulation, etc.
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PDF链接：
https://arxiv.org/pdf/1009.2928