英文标题：
《A Structural Model for Fluctuations in Financial Markets》
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作者：
Kartik Anand, Jonathan Khedair, and Reimer Kuehn
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最新提交年份：
2017
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英文摘要：
  In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian motion model. It is formally equivalent to a model describing the stochastic dynamics of a system of analogue neurons, which is expected to exhibit glassy properties and thus many meta-stable states in a large portion of its parameter space. We perform a generating functional analysis, introducing a slow driving of the dynamics to mimic the effect of slowly varying macro-economic conditions. Distributions of asset returns over various time separations are evaluated analytically and are found to be fat-tailed in a manner broadly in line with empirical observations. Our model also allows to identify collective, interaction mediated properties of pricing distributions and it predicts pricing distributions which are significantly broader than their non-interacting counterparts, if interactions between prices in the model contain a ferro-magnetic bias. Using simulations, we are able to substantiate one of the main hypotheses underlying the original modelling, viz. that the phenomenon of volatility clustering can be rationalised in terms of an interplay between the dynamics within meta-stable states and the dynamics of occasional transitions between them.
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中文摘要：
在本文中，我们对[1]中最初提出的市场中交易资产价格动态的结构模型进行了全面分析。该模型采用几何布朗运动模型的交互推广形式。它在形式上等价于一个描述模拟神经元系统随机动力学的模型，该模型预计在其参数空间的很大一部分中会表现出玻璃态特性，从而表现出许多亚稳态。我们执行生成函数分析，引入动力学的缓慢驱动，以模拟缓慢变化的宏观经济条件的影响。对不同时间间隔的资产收益分布进行了分析评估，发现其厚尾分布与经验观察结果大体一致。我们的模型还可以确定定价分布的集体、相互作用中介属性，如果模型中的价格之间的相互作用包含铁磁偏置，则它预测的定价分布比其非相互作用的对应分布要宽得多。通过模拟，我们能够证实原始建模的主要假设之一，即。波动性聚集现象可以根据亚稳态内的动力学和它们之间偶尔转换的动力学之间的相互作用来合理化。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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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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