Trade clustering and power laws in financial markets
研究解释了资产交易量和收益中幂律分布的形成原因，通过一个二元行动的两状态模型，证明当交易者数量大且信号噪声足够时，均衡交易量和收益会呈现幂律分布，数值结果也复现了实际数据。
This study provides an explanation for the emergence of power laws in asset trading volume and returns. We consider a two‐state model with binary actions, where traders infer other traders' private signals regarding the value of an asset from their actions and adjust their own behavior accordingly. We prove that this leads to power laws for equilibrium volume and returns whenever the number of traders is large and the signals for asset value are sufficiently noisy. We also provide numerical results showing that the model reproduces observed distributions of daily stock volume and returns.