新的交易员游戏?——历史视角下的响应函数实证分析

IF 3.1 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY
Cedric Schuhmann, Benjamin Köhler, Anton J. Heckens, Thomas Guhr
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引用次数: 0

摘要

金融市场上的交易者以各种方式产生非马尔可夫效应,特别是通过他们彼此之间的竞争,这可以被解释为不同(类型)交易者之间的游戏。为了量化市场机制,我们实证分析了不同股票对的自反应函数和相应的交易符号相关因子。虽然自我反应中的非马尔可夫动态是流动性驱动的,但它在交叉反应中是期望驱动的,这与相关性的出现有关。我们通过经验研究了这些响应随时间的非平稳性。在我们之前的数据分析中,我们只调查了2008年的危机。现在,我们通过分析2007年、2014年和2021年,大大扩展了这一范围。为了改进统计,我们还计算了不同年份的平均响应函数。随着时间的推移,我们发现了显著的变化,揭示了交易者游戏的变化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A new traders’ game? — Empirical analysis of response functions in a historical perspective
Traders on financial markets generate non-Markovian effects in various ways, particularly through their competition with one another which can be interpreted as a game between different (types of) traders. To quantify the market mechanisms, we empirically analyze self-response functions for pairs of different stocks and the corresponding trade sign correlators. While the non-Markovian dynamics in the self-responses is liquidity-driven, it is expectation-driven in the cross-responses which is related to the emergence of correlations. We empirically study the non-stationarity of these responses over time. In our previous data analysis, we only investigated the crisis year 2008. We now considerably extend this by also analyzing the years 2007, 2014 and 2021. To improve statistics, we also work out averaged response functions for the different years. We find significant variations over time revealing changes in the traders’ game.
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来源期刊
CiteScore
7.20
自引率
9.10%
发文量
852
审稿时长
6.6 months
期刊介绍: Physica A: Statistical Mechanics and its Applications Recognized by the European Physical Society Physica A publishes research in the field of statistical mechanics and its applications. Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents. Applications of the techniques of statistical mechanics are widespread, and include: applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.
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