论文标题
投机市场中的“拍卖作为搜索”的理论
A Theory of 'Auction as a Search' in speculative markets
论文作者
论文摘要
高频驱动市场中的Tatonnement过程是由买方搜索卖方的搜索，反之亦然。我们建议在没有做市商的情况下，包括限制订单和潜在订单的总订单模型。使用扩散式反应模型采用代理的零智能方法，通过连续拍卖（价格和数量）来解释交易。交易价格的搜索（征税或布朗尼）是由觅食，趋化性和机器人搜索启发的模型中其他行为动力学的主要扩散机制。为几种情况和示例提供了分析和渐近分析。该模型的数值模拟扩展了我们对模型中布朗，超级散发和弹道搜索之间相对性能的理解。
The tatonnement process in high frequency order driven markets is modeled as a search by buyers for sellers and vice-versa. We propose a total order book model, comprising limit orders and latent orders, in the absence of a market maker. A zero intelligence approach of agents is employed using a diffusion-drift-reaction model, to explain the trading through continuous auctions (price and volume). The search (levy or brownian) for transaction price is the primary diffusion mechanism with other behavioural dynamics in the model inspired from foraging, chemotaxis and robotic search. Analytic and asymptotic analysis is provided for several scenarios and examples. Numerical simulation of the model extends our understanding of the relative performance between brownian, superdiffusive and ballistic search in the model.
