论文标题
金融市场的价格形成：游戏理论观点
Price formation in financial markets: a game-theoretic perspective
论文作者
论文摘要
我们提出了两个新颖的框架，以研究订单簿中谈判的资产的价格形成。具体而言，考虑到有限的流动性，我们在许多人游戏和均值游戏中开发了游戏理论模型。我们根据实现的订单流量得出了成型价格的分析公式。我们还确定了适当的条件，以确保在有限的人口游戏中找到的价格收敛到其均值场。我们通过使用来自纳斯达克列出的十个股票的高频数据，巴西B3中列出的股票以及以均值列出的加密货币来评估我们的结果。
We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a game-theoretic model in many-person games and mean-field games, considering costs stemming from limited liquidity. We derive analytical formulas for the formed price in terms of the realized order flow. We also identify appropriate conditions that ensure the convergence of the price we find in the finite population game to that of its mean-field counterpart. We numerically assess our results with a large experiment using high-frequency data from ten stocks listed in the NASDAQ, a stock listed in B3 in Brazil, and a cryptocurrency listed in Binance.
