Related papers: L'effet de levier de tr\'esorerie
One of the major barriers for the retailers is to understand the consumption elasticity they can expect from their contracted demand response (DR) clients. The current trend of DR products provided by retailers are not consumer-specific,…
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of this paper is to investigate passive market impact by…
Liquidity providers are currently incentivised to provide liquidity through the LP Incentives Programme on dYdX. Based on the various parameters - makerVolume, depths and spreads, they are rewarded accordingly based on their activities.…
When droplets impact fibrous media, the liquid can be captured by the fibers or contact then break away. Previous studies have shown that the efficiency of drop capture by a rigid fiber depends on the impact velocity and defined a threshold…
A turbulent flow is maintained by an external supply of kinetic energy, which is eventually dissipated into heat at steep velocity gradients. The scale at which energy is supplied greatly differs from the scale at which energy is…
The concept of "fragility", which was introduced to characterize the degree of super-Arrhenius temperature dependence of the relaxation time and transport coefficients, has since been taken as a key quantity that seems to correlate with…
From everyday experience, we all know that a solid edge can deflect a liquid flowing over it significantly, up to the point where the liquid completely sticks to the solid. Although important in pouring, printing and extrusion processes,…
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed…
In a variety of applications, most notably microfluidic design, slip-based boundary conditions have been sought to characterize fluid flow over patterned surfaces. We focus on laminar shear flows over surfaces with periodic height…
We study the relation between flow structure and fluid deformation in steady two-dimensional random flows. Beyond the linear (shear flow) and exponential (chaotic flow) elongation paradigms, we find a broad spectrum of stretching behaviors,…
The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory…
The interfacial tension of a liquid droplet surrounded by another liquid in the presence of microscopic ions is studied as a function of the droplet radius. An analytical expression for the interfacial tension is obtained within a linear…
We investigate previously unclarified effects of fluid elasticity on shear-thickening in dilute suspensions in an Oldroyd-B viscoelastic fluid using a novel direct numerical simulation based on the smoothed profile method. Fluid elasticity…
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when…
Hydrodynamic behavior at the vicinity of a confining wall is closely related to the friction properties of the liquid/solid interface. Here we consider, using Molecular Dynamics simulations, the electric contribution to friction for charged…
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account…
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. systematically attempting to buy underpriced assets. When funds…
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to…
The lubricated motion of an object near a deformable boundary presents striking subtleties arising from the coupling between the elasticity of the boundary and lubricated flow, including but not limited to the emergence of a lift force…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…