美国金融市场的生产率与均性:从商业生态系统的角度看
1Institute of Physics, Faculty of Science, Universidad de la República, Montevideo 11400, Uruguay.
Entropy (Basel, Switzerland)
|July 29, 2023
概括
高的市场生产率与降低的均度相关,类似于生态系统动态. 这种反向关系是由公司互动的强度驱动的,这可能与货币政策有关.
科学领域:
- 生态生态学 生态生态学
- 经济学 经济学 经济学
- 网络科学 网络科学
背景情况:
- 来自美国股票市场 (2001-2021) 的实证数据显示,香农均度与生产率之间存在反向关系.
- 这种模式反映了各种生态系统的观察结果,表明了共同的基本原则.
研究的目的:
- 通过商业生态系统的角度来研究市场均性和生产率之间的反向关系.
- 将企业互动作为生态网络进行建模,并解释观察到的经济现象.
主要方法:
- 利用一般化的洛特卡-沃尔特拉方程来建模互动公司的合成社区.
- 采用随机相互作用矩阵,其中的元素来自于以0.0为中心的均分布.
- 改变了公司互动的强度,以分析其对社区动态的影响.
主要成果:
- 互动强度的增加导致了更高的生产率和降低了市场均性.
- 相互作用强度下降导致生产率下降,市场均性增加.
- 该模型成功地复制了在美国股市中观察到的反向关系.
结论:
- 公司之间互动的强度是市场生产力和结构的关键决定因素.
- 这种相互作用的强度可以被解释为货币政策松的代理.
- 通过生态网络类比,研究结果将利率政策与市场结构动态联系起来.
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