英文标题：
《Understanding Financial Market States Using Artificial Double Auction
  Market》
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作者：
Kyubin Yim, Gabjin Oh, Seunghwan Kim
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最新提交年份：
2015
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英文摘要：
  The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidences from the fields of finance, mathematics, and even physics to explain states observed in the real financial markets, previous theories that attempt to fully explain the complexities of financial markets have been inadequate. In this study, we propose an artificial double auction market as an agent-based model approach to study the origin of complex states in the financial markets, characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategy of chartist traders after market information arrives should reduce market stability originating in the price fluctuations of risky assets. However, fundamentalist traders strategically submit orders with a fundamental value and, thereby stabilize the market. We construct a continuous double auction market and find that the market is controlled by a fraction of chartists, P_{c}. We show that mimicking real financial markets state, which emerges in real financial systems, is given between approximately P_{c} = 0.40 and P_{c} = 0.85, but that mimicking the efficient market hypothesis state can be generated in a range of less than P_{c} = 0.40. In particular, we observe that the mimicking market collapse state created in a value greater than P_{c} = 0.85, in which a liquidity shortage occurs, and the phase transition behavior is P_{c} = 0.85.
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中文摘要：
金融系统中构成资产价格的基本机制理论的最终价值将反映在这些理论理解这些系统的能力上。虽然解释金融市场各种状态的模型从金融、数学甚至物理学领域提供了大量证据来解释在真实金融市场中观察到的状态，但以前试图充分解释金融市场复杂性的理论并不充分。在这项研究中，我们提出了一个人工双拍卖市场，作为一种基于代理的模型方法，来研究金融市场复杂状态的起源，通过一种能够覆盖金融市场动态的投资策略来表征重要参数。市场信息到达后，图表交易者的投资策略应该会降低风险资产价格波动引起的市场稳定性。然而，原教旨主义交易者战略性地提交具有基本价值的订单，从而稳定市场。我们构造了一个连续的双重拍卖市场，发现该市场由一小部分图表作者P_{c}控制。我们证明了在真实金融系统中出现的模拟真实金融市场状态在大约P_{c}=0.40和P_{c}=0.85之间给出，但模拟有效市场假设状态可以在小于P_{c}=0.40的范围内产生。特别是，我们观察到，在一个大于P_{c}=0.85的值中产生的模拟市场崩溃状态，其中发生了流动性短缺，并且相变行为是P_{c}=0.85。
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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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