论文标题
金融市场的信息热力学：Glosten-Milgrom模型
Information thermodynamics of financial markets: the Glosten-Milgrom model
论文作者
论文摘要
Glosten-Milgrom模型描述了一个单一的资产市场，在噪音交易者在场的情况下，知情的交易者与做市商互动。我们通过{\ em i）进行了类比，这表明后者中的最佳工作提取方案与前者的定价策略和{\ em ii）}的定价策略相吻合，从而定义了来自市场订单分布的物理温度的市场类似物。然后，我们表明，在这种市场温度的乘积上，知情交易者的预期增益与知情交易者所具有的信息量相比，与相应的公式相似，以提供可从信息引擎的周期中提取的最大预期工作量。这表明，本着信息热力学的最新想法可能会阐明金融市场，并以延长的热力学第二定律的精神导致普遍的不平等现象。
The Glosten-Milgrom model describes a single asset market, where informed traders interact with a market maker, in the presence of noise traders. We derive an analogy between this financial model and a Szilárd information engine by {\em i)} showing that the optimal work extraction protocol in the latter coincides with the pricing strategy of the market maker in the former and {\em ii)} defining a market analogue of the physical temperature from the analysis of the distribution of market orders. Then we show that the expected gain of informed traders is bounded above by the product of this market temperature with the amount of information that informed traders have, in exact analogy with the corresponding formula for the maximal expected amount of work that can be extracted from a cycle of the information engine. This suggests that recent ideas from information thermodynamics may shed light on financial markets, and lead to generalised inequalities, in the spirit of the extended second law of thermodynamics.
