Related papers: L'effet de levier de tr\'esorerie
In this paper, an attempt has been made to develop a simple leakage inventory model without shortages with instantaneous or finite production rate under fuzzy environment. In the present day scenario, it is difficult to decide the exact…
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of stylized facts, such as the square-root impact law. An…
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow…
Price perception by consumers represents a challenge to the ability of a business to correctly and profitably price and sell their products or services in a given market and any new target market. Complicating the perception of prices is…
In this paper we consider the effect of surface heterogeneity on the slippage of fluid, using two complementary approaches. First, MD simulations of a corrugated hydrophobic surface have been performed. A dewetting transition, leading to a…
The conventional boundary conditions at the interface between two flowing liquids include continuity of the tangential velocity. We have tested this assumption with molecular dynamics simulations of Couette and Poiseuille flows of…
Locational Marginal Price (LMP) is a dual variable associated with supply-demand matching and represents the cost of delivering power to a particular location if the load at that location increases. In recent times it become more volatile…
We have performed surface tension measurements on carbopol gels of different concentrations and yield stresses. Our setup, based on the force exerted by a capillary bridge on two parallel plates, allows to measure an effective surface…
When a fluid is constrained to a fixed, finite volume, the conditions for liquid-vapor equilibrium are different from the infinite volume or constant pressure cases. There is even a range of densities for which no bubble can form, and the…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
Rate-independence for stresses within a granular material is a basic tenet of many models for slow dense granular flows. By contrast, logarithmic rate dependence of stresses is found in solid-on-solid friction, in geological settings, and…
The elastic Leidenfrost effect occurs when a vaporizable soft solid is lowered onto a hot surface. Evaporative flow couples to elastic deformation, giving spontaneous bouncing or steady-state floating. The effect embodies an unexplored…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
I show that if the capital accumulation dynamics is stochastic a new term, in addition to that given by accounting prices, has to be introduced in order to derive a correct estimate of the genuine wealth of an economy. In a simple model…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the…
We study the economic viability of liquidity provision in decentralised exchanges (DEXs) within a structural framework in which market outcomes are endogenous. We formulate strategic interactions as a sequential game: a risk-averse…
Why do companies choose particular capital structures? A compelling answer to this question remains elusive despite extensive research. In this article, we use double machine learning to examine the heterogeneous causal effect of credit…
This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other…
Liquidity withdrawal is a critical indicator of market fragility. In this project, I test a framework for forecasting liquidity withdrawal at the individual-stock level, ranging from less liquid stocks to highly liquid large-cap tickers,…
Microdrop impact and spreading phenomena are explored as an interface formation process using a recently developed computational framework. The accuracy of the results obtained from this framework for the simulation of high deformation…