大宗商品市场对波动等交易操作的敏感性

IF 1.1 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS
G. Bobrik, P. Bobrik, I. Sukhorukova
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引用次数: 1

摘要

考虑了最简单商品市场的定价模型。该模型描述了订单簿的行为,订单簿由生产者、消费者和投机者的订单组成。本文探讨了新的市场参与者以大规模操作的形式对该模型的外部影响,这些参与者开始以高速推进他们的订单,例如,先出价,然后出价。这种策略被称为波动。本文研究了一种简单的摆动型交易策略的单周期。建立了一个与波动操作相关的定价潜力模型案例。文中给出了一个例子,表明有生产者和消费者的最简单商品市场具有内在属性,即它们可能容易受到外部影响。通过大量的购买和销售,价格的波动导致进入者以牺牲传统市场参与者的利益为代价获得系统性利润。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The sensitivity of commodity markets to exchange operations such as swing
A pricing model for the simplest commodity markets is considered. The model describes the behavior of the Order Book, consisting of orders from producers, consumers and speculators. The paper explores the external impact on this model in the form of large operations by new market participants, who at high speeds begin to push forward their orders, for example, first bids and then asks. Such strategies are called swings. This paper investigates a single cycle of one simple trading strategy of the swing type. Found a particular model case of pricing potentiality price relative to swing operation. An example is given, that shows that the simplest commodity markets with producers and consumers have the internal property that they are potentially vulnerable to external influences. The swinging of prices through large purchases and sales leads to systematic profits of the entrants at the expense of the traditional market participants.
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来源期刊
Journal of Dynamics and Games
Journal of Dynamics and Games MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-
CiteScore
2.00
自引率
0.00%
发文量
26
期刊介绍: The Journal of Dynamics and Games (JDG) is a pure and applied mathematical journal that publishes high quality peer-review and expository papers in all research areas of expertise of its editors. The main focus of JDG is in the interface of Dynamical Systems and Game Theory.
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