Related papers: L'effet de levier de tr\'esorerie
The aim of this paper is to calculate the time dependence of the mean position (and orientation) of a fluid particle when a fluid system at thermodynamic equilibrium is submitted to a mechanical action. The starting point of this novel…
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such…
Inequality and its consequences are the subject of intense recent debate. Using a simplified model of the economy, we address the relation between inequality and liquidity, the latter understood as the frequency of economic exchanges.…
This article introduces a new mathematical concept of illiquidity that goes hand in hand with credit risk. The concept is not volume- but constraint-based, i.e., certain assets cannot be shorted and are ineligible as num\'eraire. If those…
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem through the lens of continuous-time financial mathematics and…
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…
The dynamics of drop impact on solid surfaces can be changed significantly by tuning the elasticity of the solid. Most prominently, the substrate deformation causes an increase in the splashing threshold as compared to impact onto perfectly…
The Plateau-Rayleigh instability of a liquid column underlies a variety of fascinating phenomena that can be observed in everyday life. In contrast to the case of a free liquid cylinder, describing the evolution of a liquid layer on a solid…
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motion but is subject to liquidity shocks,…
This paper investigates the causal effect of export intensity on productivity and other firm-level outcomes with a dose-response function. After positing that export intensity acts as a continuous treatment, we investigate counterfactual…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information…
We investigate the dripping of liquids around solid surfaces in the regime of inertial flows, a situation commonly encountered with the so-called "teapot effect". We demonstrate that surface wettability is an unexpected key factor in…
Elastoviscoplastic (EVP) fluids, which exhibit both solid-like and liquid-like behavior depending on the applied stress, are critical in industrial processes involving complex geometries such as porous media and wavy channels. In this…
We study the equilibrium properties and the wetting behavior of a simple liquid on a polymer brush, with and without presence of lubricant by multibody Dissipative Particle Dynamics simulations. The lubricant is modelled as a polymeric…
A liquid poured from a curved solid surface can separate as a steady jet or sheet, or trickle down along the solid surface. It was shown by Duez et al. [Phys. Rev. Lett. 104, 084503 (2010)] that surface wettability controls the separation…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
Motivated by the emerging applications of liquid-infused surfaces (LIS), we study the drag reduction and robustness of transverse flows over two-dimensional microcavities partially filled with an oily lubricant. Using separate simulations…
A thermodynamic measure of the fragility of liquids has recently (Ito et al ref.1) been defined in terms of the temperature dependence of the excess entropy of liquid over crystal, scaled by the excess entropy at the glass transition…
Liquids flowing against solid surfaces experience friction. While solid friction is familiar to anyone with a sense of touch, liquid friction is much more exotic. At macroscopic scales indeed, the assumption of inifinite friction, i.e. that…
Many multiphase fluid systems, such as those involving immiscible polymers or liquid-liquid systems with surfactants, have shown a breakdown of the no-slip condition at the material interface. This results in systems where the tangential…