不变价格冲击函数的消亡和投机的单时间步长模型
The demise of constant price impact functions and single-time step models of speculation
摘要：
恒定和对称的价格影响函数，最常用的基于代理的市场建模，被证明会产生矛盾和不一致的结果，在最简单的情况下，套利剥削时，打开持有关闭行动被认为是。悖论的解决在于现实生活中价格影响函数的非常数性质。一个简单的模型，包括明确的立场开放，持有和关闭简要介绍和讨论其信息生态，揭示了新的光少数者博弈的相关性，金融市场的研究。
英文摘要：
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions are considered. The solution of the paradox lies in the non-constant nature of real-life price impact functions. A simple model that includes explicit position opening, holding, and closing is briefly introduced and its information ecology discussed, shedding new light on the relevance of the Minority Game to the study of financial markets.
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。
