论文标题
Glosten-Milgrom模型中热力学的概括性定律
Generalized second law of thermodynamics in the Glosten-Milgrom model
论文作者
论文摘要
我们在Glosten-Milgrom模型中具有有限的地平线，完全类似于热力学的第二定律，我们在Glosten-Milgrom模型中获得了预期的知情交易者的上限。该结果扩展了Touzo等人获得的结果。几年前。证明依赖于贝叶斯的推论（在连续游戏序列下利用问题的不变性）和有趣的熵不平等。我们还提供了数值结果，既支持模型中特征时间尺度的存在，又提供了增益波动的幅度。讨论了其他可能的扩展。
We derive an upper bound for the expected gain of informed traders in the Glosten-Milgrom model with finite horizon, fully analogous to a generalized second law of thermodynamics. This result extends that obtained by Touzo et al. a couple of years ago. The proof relies on Bayesian inference (exploiting the invariance of the problem under consecutive game sequences) and an interesting entropic inequality. We also provide numerical results both supporting the existence of a characteristic timescale in the model and illustrating the magnitude of gain fluctuations. Other possible extensions are discussed.
