Farmer J D, Lo A W
Prediction Company, 236 Montezuma Avenue, Santa Fe, NM 87501, USA.
Proc Natl Acad Sci U S A. 1999 Aug 31;96(18):9991-2. doi: 10.1073/pnas.96.18.9991.
In this review article, we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions of research, some focusing on more elaborate mathematical models that are capable of rationalizing the empirical facts, others taking a completely different tack in rejecting rationality altogether. One of the most promising directions is to view financial markets from a biological perspective and, specifically, within an evolutionary framework in which markets, instruments, institutions, and investors interact and evolve dynamically according to the "law" of economic selection. Under this view, financial agents compete and adapt, but they do not necessarily do so in an optimal fashion. Evolutionary and ecological models of financial markets is truly a new frontier whose exploration has just begun.
在这篇综述文章中，我们探讨了金融市场定量建模方面的一些最新进展。我们从有效市场假说开始，描述了这个有争议的观点如何激发了一些新的研究方向，一些研究聚焦于更精细的数学模型，这些模型能够使实证事实合理化，另一些则采取了完全不同的策略，完全摒弃理性。最有前景的方向之一是从生物学角度看待金融市场，具体而言，是在一个进化框架内，市场、工具、机构和投资者根据经济选择的“法则”动态地相互作用和演变。按照这种观点，金融主体相互竞争并适应，但它们不一定以最优方式这样做。金融市场的进化和生态模型确实是一个刚刚开始探索的新前沿领域。
