英文标题：
《A simple model of local prices and associated risk evaluation》
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作者：
Krzysztof Urbanowicz, Peter Richmond and Janusz A. Ho{\\l}yst
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最新提交年份：
2014
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英文摘要：
  A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimension of the system and the introduction of price into the link measure. For dimensions below 2, the associated risk is high and the price distribution is bimodal. For higher dimensions, the price distribution is Gaussian and the associated risk is much lower. It is suggested that the results are relevant to rare assets or situations where few players are involved in the deal making process.
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中文摘要：
构造了一个简单的自旋系统来模拟资产价格的动态，并进行了数值研究。价格分布的结果既取决于系统的维度，也取决于将价格引入链接度量。对于低于2的维度，相关风险很高，价格分布是双峰的。对于更高维度，价格分布是高斯分布，相关风险要低得多。有人认为，这些结果与稀有资产或很少有参与者参与交易过程的情况有关。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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