Related papers: A simple microstructure return model explaining mi…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
Collective actuation describes the spontaneous synchronized oscillations taking place in active solids, when the elasto-active feedback, that generically couples the reorientation of the active forces and the elastic stress, is large…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as an example. The temporal structure and…
We propose an approximation for the probability of tipping when the speed of parameter change and additive white noise interact to cause tipping. Our approximation is valid for small to moderate drift speeds and helps to estimate the…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
We consider rotational diffusion for two systems - a macrospin under external magnetic field, and a particle diffusing on the surface of a sphere under external torque. Microstates in the two cases transform differently under time-reversal.…
One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated and is characterized by heavy tailed in the sense that some…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric function of the limit order book. The noise-robust estimators…
Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our…
This paper examines the influence of low-frequency macroeconomic variables on the high-frequency returns of copper futures and the long-term correlation with the S&P 500 index, employing GARCH-MIDAS and DCC-MIDAS modeling frameworks. The…
Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread,…
The effect of stochasticity, in the form of Gaussian white noise, in a predator-prey model with two distinct time-scales is presented. A supercritical singular Hopf bifurcation yields a Type II excitability in the deterministic model. We…
Strong positive feedback is considered a necessary condition to observe abrupt shifts of ecosystems. A few previous studies have shown that demographic noise -- arising from the probabilistic and discrete nature of birth and death processes…