Analytic treatment of a trading market model

Das A.; Yarlagadda S.

首页> 外文期刊>Physica Scripta: An International Journal for Experimental and Theoretical Physics >Analytic treatment of a trading market model

【24h】

Analytic treatment of a trading market model

机译：交易市场模型的分析处理

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process. The exchange involves random re-distribution among the two players of a fixed fraction of their total money. We obtain a simple integral nonlinear equation for the money distribution. We find that the zero savings and finite savings cases belong to different universality classes. While the zero savings case can be solved analytically, the finite savings solution is obtained by numerically solving the integral equation. We find remarkable agreement with results obtained by other researchers using sophisticated numerical techniques [Chatterjee et al., these proceedings]. [References: 5]

机译：我们用数学方法分析一个简单的市场模型，其中每个时间点的交易只涉及两个代理商，他们的资金被保存下来，在交易过程之后，没有一方产生负钱。交换涉及在两个参与者之间随机重新分配他们总金额的固定部分。我们获得了一个简单的积分非线性方程，用于货币分配。我们发现零储蓄和有限储蓄情况属于不同的普遍性类别。零储蓄的情况可以通过解析来求解，而有限储蓄的解决方案是通过对积分方程进行数值求解而获得的。我们发现与其他研究人员使用复杂的数值技术获得的结果有着显着的一致性[Chatterjee et al。，这些程序]。 [参考：5]

著录项

来源
《Physica Scripta: An International Journal for Experimental and Theoretical Physics》 |2003年第0期|共2页
作者
Das A.; Yarlagadda S.;
展开▼
作者单位

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类物理学;
关键词
Statistical-mechanics; Money;

机译：统计力学;金钱;

相似文献

外文文献
中文文献
专利

1. Analytic treatment of a trading market model [J] . Das A., Yarlagadda S. Physica Scripta: An International Journal for Experimental and Theoretical Physics . 2003,第0期

机译：交易市场模型的分析处理
2. Stability of the market in the international trade model introduced foreign exchange agents: medieval times model of world trade league [J] . Yuichi Sasaki, Hidenori Kawamura, Koichi Kurumatani, 電子情報通信学会技術研究報告. 人工知能と知識処理. Artificial Intelligence and Knowledge Based Processing . 2001,第536期

机译：市场稳定中引入国际贸易模型的外汇代理人：中世纪世界贸易联盟模型
3. Stability of the market in the international trade model introduced foreign exchange agents: medieval times model of world trade league [J] . Yuichi Sasaki, Hidenori Kawamura, Koichi Kurumatani, 電子情報通信学会技術研究報告. 人工知能と知識処理. Artificial Intelligence and Knowledge Based Processing . 2001,第536期

机译：国际贸易模式的市场稳定引入了外汇代理商：世界贸易联盟的中世纪模型
4. Analytic Hierarchy Process for Evaluation on Competence of Trade Market [C] . LI Ling ying, QIAO Zhong 2007 International Conference on Management Science and Engineering(2007管理科学与工程国际学术会议)论文集 . 2007

机译：贸易市场竞争力评价的层次分析法
5. Essays on Post-crisis Market Model, Levy Market Model for Inflation Rates, and Analytical Option Pricing under Heston Model. [D] . Gao, Yanhui. 2012

机译：危机后市场模型，通货膨胀率征费市场模型以及赫斯顿模型下的分析性期权定价的论文。
6. Expanding comparative-advantage biological market models: contingency of mutualism on partners resource requirements and acquisition trade-offs. [O] . Jason D Hoeksema, Mark W Schwartz 2003

机译：扩大比较优势生物市场模型：互助关系对合作伙伴的资源要求和获取权衡的偶然性。
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％。

Analytic treatment of a trading market model

摘要

著录项

相似文献

相关主题

期刊订阅