标题： 具有瓶颈的平衡流的普适性类：颗粒物质流动、行人流量和金融价格动力学 显示英文标题

标题： Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics

摘要： 我们提出并提供了证据，证明在瓶颈或限制存在的情况下，颗粒物质反向流动的动力学与金融价格形成过程之间存在类比关系。 通过广泛的模拟，我们发现当门附近的密度与价格的对数进行比较时，模拟行人的反向流动表现出许多在金融市场中观察到的典型特征。 即使在行人模型中的代理被假设为零智能行为时，这些典型特性已经显现。 如果给代理赋予决策能力并适应部分跟随多数派的行为，则可能会出现群体行为时期。 这导致了由于间歇性动力学引起的绝对回报自相关性的非常缓慢衰减。 我们的研究结果表明，金融价格波动中的典型事实是由在约束条件下导致交易流集中于狭窄价格范围的两组具有相反利益的主体之间的竞争所导致的。 显示英文摘要

摘要： We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counter-flows of simulated pedestrians through a door display many stylized facts observed in financial markets when the density around the door is compared with the logarithm of the price. The stylized properties are present already when the agents in the pedestrian model are assumed to display a zero-intelligent behavior. If agents are given decision-making capacity and adapt to partially follow the majority, periods of herding behavior may additionally occur. This generates the very slow decay of the autocorrelation of absolute return due to an intermittent dynamics. Our finding suggest that the stylized facts in the fluctuations of the financial prices result from a competition of two groups with opposite interests in the presence of a constraint funneling the flow of transactions to a narrow band of prices.