英文标题：
《Fragmentation in trader preferences among multiple markets: Market
  coexistence versus single market dominance》
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作者：
Robin Nicole, Aleksandra Alori\\\'c, Peter Sollich
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最新提交年份：
2021
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英文摘要：
  Technological advancement has lead to an increase in number and type of trading venues and diversification of goods traded. These changes have re-emphasized the importance of understanding the effects of market competition: does proliferation of trading venues and increased competition lead to dominance of a single market or coexistence of multiple markets? In this paper, we address these questions in a stylized model of Zero Intelligence traders who make repeated decisions at which of three available markets to trade. We analyse the model numerically and analytically and find that parameters that govern traders\' decisions -- memory length and intensity of choice, e.g. how strongly decisions are based on past success -- make the key distinctions between consolidated and fragmented steady states of the population of traders. All three markets coexist with equal shares of traders only when either learning is too weak and traders choose randomly, or when markets are identical. In the latter case, the population of traders is fragmented across the markets. For the more general case of markets with different biases, we note that market dominance is the more typical scenario. These results are interesting because previously either strong differentiation of markets or heterogeneity in the needs of traders was found to be a necessary condition for market coexistence. We show that, in contrast, these states can emerge simply as a consequence of co-adaptation of an initially homogeneous population of traders.
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中文摘要：
技术进步导致交易场所的数量和类型增加，交易商品多样化。这些变化再次强调了理解市场竞争影响的重要性：交易场所的激增和竞争的加剧是否会导致单一市场的主导地位或多个市场的共存？在本文中，我们在一个由零情报交易者组成的程式化模型中解决这些问题，这些交易者在三个可用市场中的哪一个进行重复决策。我们对模型进行了数值和分析，发现决定交易者决策的参数——记忆长度和选择强度，例如基于过去成功的决策强度——在交易者群体的整合和分散稳定状态之间形成了关键区别。只有在学习能力太弱、交易者随机选择或市场相同的情况下，这三个市场的交易者份额相等。在后一种情况下，交易者的人口分散在各个市场。对于具有不同偏见的市场的更一般情况，我们注意到市场主导是更典型的情况。这些结果很有趣，因为之前人们发现，市场的强烈分化或交易者需求的异质性是市场共存的必要条件。我们表明，相比之下，这些状态可能只是最初同质的交易者群体共同适应的结果。
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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：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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一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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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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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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