时间上的非局部波动如何影响复杂金融系统中的价格动态
How volatilities nonlocal in time affect the price dynamics in complex financial systems
摘要：
什么是金融系统中价格动态的主导机制是科学家们非常感兴趣的。波动性是否以及如何影响价格运动的问题备受关注。虽然已经作出了许多努力，但这仍然是一项挑战。物理学家通常运用统计物理学中的概念和方法，如时间相关函数来研究金融动力学。然而，通常的波动率-收益相关函数在时间上是局部的，通常在零附近波动。本文基于不同国家的数百只个股和25个股票市场指数的实证数据，构造了时间上非局部的动态观测量来研究波动率与收益率的相关性。令人惊讶的是，相关性被发现是非零的，幅度为百分之几，持续时间超过两周。这一结果提供了令人信服的证据表明，过去的波动非本地的时间影响未来的回报。此外，我们引入了一个新的机制，即在波动和稳定的市场中的非对称交易偏好，基于代理模型，以了解微观起源的波动性收益相关性的时间非局部。
英文摘要：
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
