金融市场聚合

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

Georg Menz, Moritz Voß

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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。

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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.

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arXiv - QuantFin - General Finance

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