论文标题
具有外在信息和价格敏感性的二元期权市场的动力
Dynamics of a Binary Option Market with Exogenous Information and Price Sensitivity
论文作者
论文摘要
在本文中，我们得出并分析了具有外源信息的二元期权市场的连续。所得的非线性系统具有不连续的右侧，可以使用零维的Filippov表面对其进行分析。在对购买规则的一般假设下，我们表明，当二进制资产市场中的外源信息恒定时，价格总是会汇聚。然后，我们调查了信息变化的情况下的市场价格，从经验上表明，价格敏感性对价格滞后与信息具有很强的影响。我们以关于一般$ n $ - 亚军期权市场的开放疑问总结。作为分析的副产品，我们表明这些市场等同于一个简单的经常性神经网络，有助于解释与预测市场相关的一些预测能力，这些预测能力通常被设计为$ n $ y-are-artion-artion-artive opert opears市场。
In this paper, we derive and analyze a continuous of a binary option market with exogenous information. The resulting non-linear system has a discontinuous right hand side, which can be analyzed using zero-dimensional Filippov surfaces. Under general assumptions on purchasing rules, we show that when exogenous information is constant in the binary asset market, the price always converges. We then investigate market prices in the case of changing information, showing empirically that price sensitivity has a strong effect on price lag vs. information. We conclude with open questions on general $n$-ary option markets. As a by-product of the analysis, we show that these markets are equivalent to a simple recurrent neural network, helping to explain some of the predictive power associated with prediction markets, which are usually designed as $n$-ary option markets.
