英文标题：
《Market fragmentation and market consolidation: Multiple steady states in
  systems of adaptive traders choosing where to trade》
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作者：
Aleksandra Alori\\\'c, Peter Sollich
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最新提交年份：
2019
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英文摘要：
  Technological progress is leading to proliferation and diversification of trading venues, thus increasing the relevance of the long-standing question of market fragmentation versus consolidation. To address this issue quantitatively, we analyse systems of adaptive traders that choose where to trade based on their previous experience. We demonstrate that only based on aggregate parameters about trading venues, such as the demand to supply ratio, we can assess whether a population of traders will prefer fragmentation or specialization towards a single venue. We investigate what conditions lead to market fragmentation for populations with a long memory and analyse the stability and other properties of both fragmented and consolidated steady states. Finally we investigate the dynamics of populations with finite memory; when this memory is long the true long-time steady states are consolidated but fragmented states are strongly metastable, dominating the behaviour out to long times.
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中文摘要：
技术进步正在导致交易场所的扩散和多样化，从而增加了长期存在的市场分割与整合问题的相关性。为了定量地解决这个问题，我们分析了适应性交易者的系统，这些交易者根据以前的经验选择交易地点。我们证明，只有基于交易场所的总体参数，如供需比，我们才能评估交易员群体是否会倾向于单一场所的分散或专业化。我们调查了哪些条件会导致具有长记忆的人群的市场分裂，并分析了分裂和整合稳态的稳定性和其他性质。最后，我们研究了具有有限记忆的种群的动态；当这种记忆很长时，真正的长时间稳定状态被巩固，但碎片状态是强亚稳的，在很长时间内主导着行为。
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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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一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Physics        物理学
二级分类：Adaptation and Self-Organizing Systems        自适应和自组织系统
分类描述：Adaptation, self-organizing systems, statistical physics, fluctuating systems, stochastic processes, interacting particle systems, machine learning
自适应，自组织系统，统计物理，波动系统，随机过程，相互作用粒子系统，机器学习
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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