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Coupled effects of market impact and asymmetric sensitivity in financial markets

机译：市场影响与金融市场敏感性不对称的耦合效应

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摘要

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors' asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority-minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable.
机译：通过将市场影响和不对称敏感性纳入进化型少数派博弈中，我们研究了金融市场中股票价格和投资策略的协同演化动态。发现股票价格走势和投资者的全球行为都与他们所处的阶段区域密切相关。在市场影响较小的区域内，当所有投资者都倾向于以极端的方式表现类似行为并且价格波动较大时，投资者对收益和损失的不对称反应会导致羊群行为的发生。发现股价变化的标准偏差与策略均值之间存在线性关系。在充分的市场影响下，投资者倾向于自我隔离成相对的群体，不对称敏感性的引入导致主导策略的消失。与市场影响较小的股票市场相比，股票价格的波动得到抑制，市场产生了效率。理论分析表明，本模型中从集聚到自我分离的相变机理与少数群体博弈相似，有效市场的发生和消失与趋势追随与趋势竞争有关。厌恶力。本模型中策略的聚类是由多数制赢效应产生的，而财富驱动机制使市场变得可预测。

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