英文标题：
《Asynchronous stochastic price pump》
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作者：
Misha Perepelitsa and Ilya Timofeyev
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最新提交年份：
2018
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英文摘要：
  We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a market adaptive strategy. In this model only a fraction of agents participates in buying and selling stock during a trading period, while the rest of the group accepts the newly set price. Using numerical simulations we show that the stochastic process settles on a stationary regime for the returns. The mean return can be greater or less than the return on the bond and it is determined by the parameters of the adaptive mechanism. When the number of interacting agents is fixed, the distribution of the returns follows the log-normal density. In this case, we give an analytic formula for the mean rate of return in terms of the rate of change of agents\' risk levels and confirm the formula by numerical simulations. However, when the number of interacting agents per period is random, the distribution of returns can significantly deviate from the log-normal, especially as the variance of the distribution for the number of interacting agents increases.
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中文摘要：
我们提出了一个在代理人群体中进行股票交易的模型，其中每个代理人都采取行动以实现其目标股票债券比率，并且作为反馈机制，遵循市场自适应策略。在这个模型中，只有一小部分代理人在一个交易期间参与股票买卖，而其余的代理人则接受新设定的价格。通过数值模拟，我们证明了随机过程的收益率稳定在平稳状态。平均回报率可以大于或小于债券回报率，这取决于自适应机制的参数。当交互代理的数量固定时，收益的分布遵循对数正态密度。在这种情况下，我们根据代理人风险水平的变化率给出了平均回报率的解析公式，并通过数值模拟对公式进行了验证。然而，当每个周期的交互代理数量是随机的时，收益的分布可能会显著偏离对数正态分布，尤其是当交互代理数量的分布方差增加时。
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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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