Related papers: Limit Laws in Transaction-Level Asset Price Models
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The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
Distributions of assets returns exhibit a slight skewness. In this note we show that our model of endogenous price formation \cite{Reimann2006} creates an asymmetric return distribution if the price dynamics are a process in which…
In this paper, we show how to estimate the asymptotic (conditional) covariance matrix, which appears in central limit theorems in high-frequency estimation of asset return volatility. We provide a recipe for the estimation of this matrix by…
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We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
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We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…
Co-design conditions for the design of a jumping-rule and a sampled-data control law for impulsive and impulsive switched systems subject to aperiodic sampled-data measurements are provided. Semi-infinite discrete-time Lyapunov-Metzler…
In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
We study a financial market where the risky asset is modelled by a geometric It\^o-L\'{e}vy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which…
Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have…
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The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…