Bouchaud Jean-Philippe
Science and Finance, Capital Fund Management, 6-8 Boulevard Haussmann, Paris 75 009, France.
Chaos. 2005 Jun;15(2):26104. doi: 10.1063/1.1889265.
We first review the most important "stylized facts" of financial time series, that turn out to be, to a large extent, universal. We then recall how the multifractal random walk of Bacry, Muzy, and Delour generalizes the standard model of financial price changes and accounts in an elegant way for many of their empirical properties. In a second part, we provide empirical evidence for a very subtle compensation mechanism that underlies the random nature of price changes. This compensation drives the market close to a critical point, that may explain the sensitivity of financial markets to small perturbations, and their propensity to enter bubbles and crashes. We argue that the resulting unpredictability of price changes is very far from the neoclassical view that markets are informationally efficient.
我们首先回顾金融时间序列最重要的“典型事实”，这些事实在很大程度上是普遍存在的。然后我们回顾巴克里、穆齐和德洛尔的多重分形随机游走如何推广金融价格变化的标准模型，并以一种优雅的方式解释了它们的许多实证特性。在第二部分中，我们为价格变化随机性背后一种非常微妙的补偿机制提供了实证证据。这种补偿使市场接近一个临界点，这可能解释了金融市场对小扰动的敏感性以及它们进入泡沫和崩溃的倾向。我们认为，由此产生的价格变化不可预测性与新古典主义认为市场信息有效率的观点大相径庭。
