论文标题
金融市场的趋势，回归和关键现象
Trends, Reversion, and Critical Phenomena in Financial Markets
论文作者
论文摘要
已知所有资产类别的金融市场都表现出趋势。这些趋势已被交易者利用数十年。在这里，我们根据股票指数，利率，货币和商品的每日期货价格的30年每日期货价格恢复趋势时的经验衡量。我们发现，一旦趋势达到统计意义的临界水平，趋势就会恢复。根据多项式回归，我们仔细测量了此临界水平。我们发现它在资产类别中是普遍的，并且具有普遍的规模行为，因为趋势的时间范围从几天到几年。相应的回归系数很小，但在统计学上是非常重要的，如引导和样本外测试所证实。我们的结果向投资者表示何时退出趋势。他们还揭示了几十年来市场如何变得更加有效。此外，他们指出了金融市场与关键现象之间的潜在深层类比：我们的分析支持以下猜想：金融市场可以建模为在关键点附近的买卖订单的统计机械集合。在此类比中，趋势强度起着顺序参数的作用，其动力学是由具有四势势的langevin方程来描述的。
Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices, interest rates, currencies and commodities. We find that trends tend to revert once they reach a critical level of statistical significance. Based on polynomial regression, we carefully measure this critical level. We find that it is universal across asset classes and has a universal scaling behavior, as the trend's time horizon runs from a few days to several years. The corresponding regression coefficients are small, but statistically highly significant, as confirmed by bootstrapping and out-of-sample testing. Our results signal to investors when to exit a trend. They also reveal how markets have become more efficient over the decades. Moreover, they point towards a potential deep analogy between financial markets and critical phenomena: our analysis supports the conjecture that financial markets can be modeled as statistical mechanical ensembles of Buy/Sell orders near critical points. In this analogy, the trend strength plays the role of an order parameter, whose dynamcis is described by a Langevin equation with a quartic potential.
