交易导致无标度自组织
Trading leads to scale-free self-organization
摘要：
金融市场在许多方面都表现出无标度行为。部分个人财富分配的幂律行为早在十九世纪就已被帕累托所认识。不同类型金融资产收益率分布的重尾性和无标度性已经在一系列研究中得到了证实。市场参与者财富的帕累托分布的存在与交易量和价格收益的无标度分布有关。然而，帕累托式财富分配的起源仍然模糊不清。在这里，我们表明，这是交易本身的过程中，在两个温和的假设自发地导致一个自组织的市场与帕累托样的财富分布的市场参与者，并在同一时间的无标度行为的回报波动。这些假设是：（1）每个人的交易量与他目前的能力成正比;（2）供给和需求决定商品的相对价值。
英文摘要：
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free behavior of the distribution of returns of different financial assets have been confirmed in a series of works. The existence of a Pareto-like distribution of the wealth of market participants has been connected with the scale-free distribution of trading volumes and price-returns. The origin of the Pareto-like wealth distribution, however, remained obscure. Here we show that it is the process of trading itself that under two mild assumptions spontaneously leads to a self-organization of the market with a Pareto-like wealth distribution for the market participants and at the same time to a scale-free behavior of return fluctuations. These assumptions are (i) everybody trades proportional to his current capacity and (ii) supply and demand determine the relative value of the goods.
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