金融市场聚合

arXiv - QuantFin - General Finance Pub Date : 2023-09-08 DOI:arxiv-2309.04116

Georg Menz, Moritz Voß

{"title":"金融市场聚合","authors":"Georg Menz, Moritz Voß","doi":"arxiv-2309.04116","DOIUrl":null,"url":null,"abstract":"We present a formal framework for the aggregation of financial markets\nmediated by arbitrage. Our main tool is to characterize markets via utility\nfunctions and to employ a one-to-one correspondence to limit order book states.\nInspired by the theory of thermodynamics we argue that the arbitrage-mediated\naggregation mechanism gives rise to a market-dynamical entropy, which\nquantifies the loss of liquidity caused by aggregation. We also discuss future\ndirections of research in this emerging theory of market dynamics.","PeriodicalId":501372,"journal":{"name":"arXiv - QuantFin - General Finance","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Aggregation of financial markets\",\"authors\":\"Georg Menz, Moritz Voß\",\"doi\":\"arxiv-2309.04116\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We present a formal framework for the aggregation of financial markets\\nmediated by arbitrage. Our main tool is to characterize markets via utility\\nfunctions and to employ a one-to-one correspondence to limit order book states.\\nInspired by the theory of thermodynamics we argue that the arbitrage-mediated\\naggregation mechanism gives rise to a market-dynamical entropy, which\\nquantifies the loss of liquidity caused by aggregation. We also discuss future\\ndirections of research in this emerging theory of market dynamics.\",\"PeriodicalId\":501372,\"journal\":{\"name\":\"arXiv - QuantFin - General Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-09-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - General Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2309.04116\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - General Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2309.04116","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

我们提出了一个由套利介导的金融市场聚集的正式框架。我们的主要工具是通过效用函数来描述市场特征，并采用一对一的对应关系来限制订单簿状态。受热力学理论的启发，我们认为套利中介的聚集机制产生了市场动态熵，它量化了聚集引起的流动性损失。我们还讨论了这一新兴市场动力学理论的未来研究方向。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Aggregation of financial markets

We present a formal framework for the aggregation of financial markets mediated by arbitrage. Our main tool is to characterize markets via utility functions and to employ a one-to-one correspondence to limit order book states. Inspired by the theory of thermodynamics we argue that the arbitrage-mediated aggregation mechanism gives rise to a market-dynamical entropy, which quantifies the loss of liquidity caused by aggregation. We also discuss future directions of research in this emerging theory of market dynamics.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

arXiv - QuantFin - General Finance

自引率

0.00%

发文量