市场微观结构模型中财富过程的性质
Properties of the wealth process in a market microstructure model
摘要：
在这篇简短的论文中，我们定义了市场微观结构的自旋模型中的财富过程，对于个体代理和总体。在我们的模型中，代理人试图平衡他们的愿望，属于当地的大多数（羊群行为），定义在随机的网络社区，偶尔属于全球少数（逆向交易）的优势。我们得出了这个财富过程的鞅性质的分类，并用它来确定代理人的相互作用的战略稳定性。我们的目标是增加一个行为的解释，这个随机代理为基础的市场波动模型。
英文摘要：
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their desire to belong to the local majority (herding behavior), defined over random network neighborhoods, and the occasional advantage of belonging to the global minority (contrarian trading). We arrive at a classification of the martingale properties of this wealth process and use it to determine the strategic stability of the agents' interactions. Our goal is to add a behavioral interpretation to this stochastic agent-based model for market fluctuations.
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。
