کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8204053 | 1530534 | 2018 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A reaction-diffusion model for market fluctuations - A relation between price change and traded volumes
ترجمه فارسی عنوان
مدل انتشار واکنش برای نوسانات بازار - رابطه بین تغییر قیمت و حجم معاملات
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
فیزیک و نجوم
فیزیک و نجوم (عمومی)
چکیده انگلیسی
Two decades ago Bak et al. (1997) [3] 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physics Letters A - Volume 382, Issue 6, 13 February 2018, Pages 367-371
Journal: Physics Letters A - Volume 382, Issue 6, 13 February 2018, Pages 367-371
نویسندگان
Steven Yuvan, Martin Bier,