图 书 馆
为市场杠杆零智能代理Marked to Market Leverage with Zero-Intelligent Agents |
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| 课程网址: | http://videolectures.net/eccs08_ussher_mtmlwzia/ |
| 主讲教师: | Leanne J. Ussher |
| 开课单位: | 皇后学院 |
| 开课时间: | 2008-11-17 |
| 课程语种: | 英语 |
| 中文简介: |  在流动性市场实时盯市场投资组合的估值可能无法有望冲击价格。但是在缺乏流动性时期的杠杆交易结算等可能对价格波动和交易，一个选择显着影响。尽管有效市场的假设，赋予投机性交易者稳定的属性，流动性或结算交易可以在短期内的不稳定性质：贸易商买的时候价格上涨，卖的时候价格回落，以满足担保要求。如果有很多商贩在市场上，这种情况会变得累积，产生的收益和波动聚类积极的自相关。这样的价格动态，以及市场流动性的相应枯竭，当交易者零智能化偶可发生，那就是他们的价格预期或风险厌恶不应对价格的变化而变化。 |
| 课程简介: | Real time valuation of the market portfolio in the liquidity market may not be expected to impact prices. However, in the period of lack of liquidity, the settlement of leverage trading may have a significant impact on price volatility and trading. Although the hypothesis of effective market gives speculative traders stable attributes, liquidity or settlement transactions can be unstable in a short period of time: when traders buy, the price rises, when they sell, the price falls to meet the guarantee requirements. If there are many vendors in the market, this situation will become cumulative, resulting in a positive autocorrelation between earnings and volatility clustering. Such price dynamics, as well as the corresponding depletion of market liquidity, can happen occasionally when traders have zero intelligence, that is, their price expectations or risk aversion should not change in response to price changes. |
| 关 键 词: | 流动性市场; 杠杆交易; 投机性交易 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2021-08-28：zyk |
| 阅读次数: | 81 |