摘要翻译:
当支配他们行为的规则是精神分裂症时,由确定性有限自动机建模的典型投资者的行为在每种资产的时间序列和横截面相关性中都产生复杂性,这意味着投资者必须同时持有多个看似矛盾的信念,要么在每个时间步骤中在两种不同的规则之间切换,要么计算对不同资产的不同反应。
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英文标题:
《Schizophrenic Representative Investors》
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作者:
Philip Z. Maymin
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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: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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一级分类:Quantitative Finance        数量金融学
二级分类:Computational Finance        计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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英文摘要:
  Representative investors whose behaviour is modelled by a deterministic finite automaton generate complexity both in the time series of each asset and in the cross-sectional correlation when the rule governing their behaviour is schizophrenic, meaning the investor must hold multiple seemingly contradictory beliefs simultaneously, either by switching between two different rules at each time step, or computing different responses to different assets. 
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PDF链接:
https://arxiv.org/pdf/1004.4592