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首页> 外文期刊>Physics Letters, A >A reaction–diffusion model for market fluctuations – A relation between price change and traded volumes
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A reaction–diffusion model for market fluctuations – A relation between price change and traded volumes

机译:市场波动的反应扩散模型 - 价格变化与交易量之间的关系

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AbstractTwo decades ago Bak et al. (1997) proposed a reaction–diffusion model to describe market fluctuations. In the model buyers and sellers diffuse from opposite ends of a 1D interval that represents a price range. Trades occur when buyers and sellers meet. We show analytically and numerically that the model well reproduces the square-root relation between traded volumes and price changes that is observed in real-life markets. The result is remarkable as this relation has commonly been explained in terms of more elaborate trader strategies. We furthermore explain why the square-root relation is robust under model modifications and we show how real-life bond market data exhibit the square-root relation.Highlights?Price changes and traded volumes of financial instruments are followed and explained.?Price change and traded volume appear to be related through a square root relation.?A simple stochastic model appears to reproduce the observed data.?The square ro
机译:<![cdata [ Abstract 二十年前Bak等人。 (1997)提出了一种反应扩散模型来描述市场波动。在模型买家和卖家中,漫射来自代表价格范围的1D间隔的相反端。买家和卖家遇到的交易发生。我们在数字上和数字上展示了模型良好地再现了在现实市场中观察到的交易量和价格变化之间的平方根关系。结果显着,因为这一关系通常在更精细的交易者战略方面解释。我们此外,我们解释了为什么平方根关系在模型修改下强大,我们展示了现实债券市场数据如何表现出平方根关系。 亮点 价格变化和交易量的金融仪器遵循和解释。 价格变更和交易量似乎通过平方根关系相关。 一个简单的stocha STIC模型似乎重现了观察到的数据。 方形ro

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