Statistical mechanics of conventional traders may lead to non-conventional market behavior

Muchnik L.; Solomon S.

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Statistical mechanics of conventional traders may lead to non-conventional market behavior

机译：常规交易者的统计机制可能导致非常规市场行为

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We describe the main idea and the conceptual architecture of a platform for simulating a large number of asynchronously interacting agents in continuous time. We show how the generic capabilities of the platform apply to the simulation of realistic stock market interactions. A particular example of a very dramatic market event that took place in Financial Times Stock Exchange (FTSE) on September 20, 2002 is used to uncover the parameters characterizing the classical investor types within the market. The simple microscopic rules governing the individual agents behavior are shown to result in a collective market behavior similar to the one of a damped harmonic oscillator. Specifically, the aggregated influence of the fundamentalist traders is formally related to Hooke's law while the behavior of the trend followers corresponds to inertia and viscous friction forces. [References: 37]

机译：我们描述了在连续时间内模拟大量异步交互代理的平台的主要思想和概念架构。我们展示了该平台的通用功能如何应用于现实股票市场互动的模拟。 2002年9月20日在金融时报证券交易所（FTSE）发生的一个非常戏剧性的市场事件的特殊示例，用于揭示表征市场中传统投资者类型的参数。控制个体行为的简单微观规则显示出导致集体市场行为，类似于阻尼谐波振荡器。具体来说，原教旨主义交易者的总体影响与胡克定律正式相关，而趋势跟随者的行为则与惯性和粘性摩擦力相对应。 [参考：37]

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《Physica Scripta: An International Journal for Experimental and Theoretical Physics》 |2003年第0期|共7页
作者
Muchnik L.; Solomon S.;
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正文语种 eng
中图分类物理学;
关键词
Stock-market; Simple-model; Order book; Fluctuations; Exchange; Crashes; Life;

机译：股票市场;简单模型;订单簿;波动;交易所;崩溃;生活;

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1. Statistical mechanics of conventional traders may lead to non-conventional market behavior [J] . Muchnik L., Solomon S. Physica Scripta: An International Journal for Experimental and Theoretical Physics . 2003,第0期

机译：常规交易者的统计机制可能导致非常规市场行为
2. Cotton Utilization in Conventional and Non-Conventional Textiles—A Statistical Review [J] . Mourad Krifa, Sara Stewart Stevens Agricultural Sciences . 2016,第10期

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3. Sliding wear behavior of WC-Co-Cr_3C_2-VC composites fabricated by conventional and non-conventional techniques [J] . L. Espinosa-Fernandez, A. Borrell, M. D. Salvador, Wear: an International Journal on the Science and Technology of Friction, Lubrication and Wear . 2013,第1a2期

机译：常规和非常规技术制备的WC-Co-Cr_3C_2-VC复合材料的滑动磨损行为
4. The use of a non-conventional fracture mechanics parameter for estimating SN curves of welded joints [C] . Jorge Alberto Rodriguez Duran, Alexandre Santos Francisco, Dionisio Jose Rodrigues da Costa International Congress of Science and Technology of Metallurgy and Materials . 2014

机译：使用非传统骨折力学参数来估算焊接接头的SN曲线
5. The application of statistical mechanics on the study of glassy behaviors in transportation networks and dynamics in models of financial markets . [D] . Yeung, Chi Ho. 2009

机译：统计力学在交通网络玻璃化行为和金融市场模型动力学研究中的应用。
6. A non-conventional approach to 10-year-delayed extraction of pacemaker leads associated with recurrent infective complications [O] . Nicolae-Dan Tesloianu, Andreea-Mihaela Ignat, Dana Corduneanu, 2017

机译：一种非常规方法将起搏器导线延迟十年提取与复发性感染并发症相关
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Statistical mechanics of conventional traders may lead to non-conventional market behavior

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