英文标题：
《Communication impacting financial markets》
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作者：
Jorgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas and Serge
  Galam
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最新提交年份：
2014
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英文摘要：
  Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance thereby ignores any interaction between participants. We introduce a socio-financial model that studies the impact of communication on the pricing in financial markets. Considering the simplest possible case where each market participant has either a positive (bullish) or negative (bearish) sentiment with respect to the market, we model the evolution of the sentiment in the population due to communication in subgroups of different sizes. Nonlinear feedback effects between the market performance and changes in sentiments are taking into account by assuming that the market performance is dependent on changes in sentiments (e.g. a large sudden positive change in bullishness would lead to more buying). The market performance in turn has an impact on the sentiment through the transition probabilities to change an opinion in a group of a given size. The idea is that if for example the market has observed a recent downturn, it will be easier for even a bearish minority to convince a bullish majority to change opinion compared to the case where the meeting takes place in a bullish upturn of the market. Within the framework of our proposed model, financial markets stylized facts such as volatility clustering and extreme events may be perceived as arising due to abrupt sentiment changes via ongoing communication of the market participants. The model introduces a new volatility measure which is apt of capturing volatility clustering and from maximum likelihood analysis we are able to apply the model to real data and give additional long term insight into where a market is heading.
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中文摘要：
行为金融学已经成为金融学中一个越来越重要的分支领域。然而，行为金融学的主要部分，包括前景理论，通过个人投资行为来理解金融市场。因此，行为金融学忽略了参与者之间的任何互动。我们引入了一个社会金融模型，研究沟通对金融市场定价的影响。考虑到最简单的情况，即每个市场参与者对市场有积极（看涨）或消极（看跌）的情绪，我们模拟了由于不同规模的子群体中的沟通，人群中情绪的演变。通过假设市场表现取决于情绪变化（例如，看涨态度的突然积极变化将导致更多购买），考虑市场表现和情绪变化之间的非线性反馈效应。市场表现反过来会通过改变给定规模群体观点的转移概率对情绪产生影响。这种想法是，如果市场观察到最近的低迷，与在市场看涨的情况下召开会议相比，即使是看跌的少数人也更容易说服看涨的多数人改变观点。在我们提出的模型框架内，金融市场风格化的事实，如波动性聚集和极端事件，可能被认为是由于市场参与者持续沟通的突然情绪变化而产生的。该模型引入了一种新的波动率度量，它易于捕捉波动率聚类，通过最大似然分析，我们能够将该模型应用于真实数据，并对市场走向提供额外的长期洞察。
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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：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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