金融市场的热力学图景与模型风险
A Thermodynamic Picture of Financial Market and Model Risk
摘要：
通过将金融市场视为一个热力学系统，我们建立了热力学变量与经济量之间的一一对应关系。模型不确定性导致的金融风险是金融市场与外部信息源相互作用的结果，通过最坏情况下的预期损失来度量。这就形成了一个热力学图景，在这个图景中，一个封闭的系统与一个外部水库相互作用，在最坏的情况下达到平衡。最坏情况的严重程度取决于信息源减少系统熵所导致的散热速率。这热力学图片导致简单和自然的推导的表征规则的最坏情况下的风险，并给出其拉格朗日和哈密顿形式。在它的帮助下，金融从业者可以利用平衡和非平衡热力学来评估风险。
英文摘要：
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused by model uncertainty is regarded as a result of the interaction between financial market and external information sources. This forms a thermodynamic picture in which a closed system interacts with an external reservoir, reaching its equilibrium at the worst-case scenario. The severity of the worst-case scenario depends on the rate of heat dissipation, caused by information sources reducing the entropy of the system. This thermodynamic picture leads to simple and natural derivation of the characterization rules of the worst-case risk, and gives its Lagrangian and Hamiltonian forms. With its help financial practitioners may evaluate risks utilizing both equilibrium and non-equilibrium thermodynamics.
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