市场微观结构自旋模型中相变的统计性质
Statistical properties of the phase transitions in a spin model for market microstructure
摘要：
日内交易活动的增加以及随后的日内波动性和交易量波动的跳跃引起了人们对金融市场微观结构模型的极大兴趣。我们研究了随机网络上基于代理的自旋市场模型的两个阶段之间的随机转换。代理人的目标是平衡他们的愿望属于全球少数，同时对当地的多数。我们发现，“有序”和“无序”的阶段之间的过渡遵循泊松过程的速率是一个单调的减函数的网络连接。
英文摘要：
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two phases of an agent-based spin market model on a random network. The objective of the agents is to balance their desire to belong to the global minority and simultaneously to the local majority. We show that transitions between the "ordered" and "disordered" phases follow a Poisson process with a rate that is a monotonically decreasing function of the network connectivity.
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。
