Related papers: L'effet de levier de tr\'esorerie
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of…
Probing the fluid dynamics of thin films is an excellent tool to study the solid/liquid boundary condition. There is no need for external stimulation or pumping of the liquid due to the fact that the dewetting process, an internal…
We present a simple agent-based model of a financial system composed of leveraged investors such as banks that invest in stocks and manage their risk using a Value-at-Risk constraint, based on historical observations of asset prices. The…
The capillary forces exerted by liquid drops and bubbles on a soft solid are directly measured using molecular dynamics simulations. The force on the solid by the liquid near the contact line is not oriented along the liquid vapor interface…
We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechanism, we discuss why things might not be that simple.…
Income- and price-elasticity of demand quantify the responsiveness of markets to changes in income, and in prices, respectively. Under the assumptions of utility maximization and preference-independence (additive preferences), mathematical…
The impact of a liquid drop on a solid surface involves many intertwined physical effects, and is influenced by drop velocity, surface tension, ambient pressure and liquid viscosity, among others. Experiments by Kolinski et al. (2014b) show…
This work explores the lift force experienced by a particle moving in a viscous fluid near a liquid-liquid interface. The lift force is induced by the interaction between the viscous flow generated by the particle's motion and the…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
Leveraged ETFs (L-ETFs) are exchange-traded funds that achieve price movements several times greater than an index by holding index-linked futures such as Nikkei Stock Average Index futures. It is known that when the price of an L-ETF…
Local sensitivity diagnostics for Bayesian models are described that are analogues of frequentist measures of leverage and influence. The diagnostics are simple to calculate using MCMC. A comparison between leverage and influence allows a…
The transition from frictional to lubricated flow of a dense suspension of non-Brownian particles is studied. The pertinent parameter characterizing this transition is the Leighton number $Le = \frac{\eta_s \dot{\gamma}}{\sigma}$, which…
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in…
This paper empirically analyzes a dataset published by the European Banking Authority. Our main aim was to study how the Leverage Ratio is affected by adverse financial scenarios. This was be followed by observing how Leverage Ratio…
We consider models for elastic liquids, such as solutions of flexible polymers. They introduce a relaxation time $\lambda$ into the system, over which stresses relax. We study the kinematics of the problem, and clarify the relationship…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
A microscopically motivated theory of glassy dynamics based on an underlying random first order transition is developed to explain the magnitude of free energy barriers for glassy relaxation. A variety of empirical correlations embodied in…
The dynamic behavior of the slip length in a fluid flow confined between atomically smooth surfaces is investigated using molecular dynamics simulations. At weak wall-fluid interactions, the slip length increases nonlinearly with the shear…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
The presence of variable renewable energy resources with uncertain outputs in day-ahead electricity markets results in additional balancing needs in real-time. Addressing those needs cost-effectively and reliably within a competitive market…