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Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market…
Electricity markets often utilize the DC approximation of the AC power flow equations to facilitate solving an otherwise complex nonconvex optimization problem. These DC power flow equations have analogies to DC circuit laws such as…
This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and…
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
Background: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However,…
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock…
We develop the theory of linear evolution equations associated with the adjacency matrix of a graph, focusing in particular on infinite graphs of two kinds: uniformly locally finite graphs as well as locally finite line graphs. We discuss…
The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market…
Understanding how a flow turns into an amorphous solid is a fundamental challenge in statistical physics, during which no apparent structural ordering appears. In the athermal limit, the two states are connected by a well-defined jamming…
Social and collaborative platforms emit multivariate time-series traces in which early interactions-such as views, likes, or downloads-are followed, sometimes months or years later, by higher impact like citations, sales, or reviews. We…
Identifying inter-firm relationships such as supply and competitive ties is critical for financial analysis and corporate governance, yet remains challenging due to the scale, sparsity, and contextual dependence of corporate data.…
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the…
We use daily data on bilateral interbank exposures and monthly bank balance sheets to study network characteristics of the Russian interbank market over Aug 1998 - Oct 2004. Specifically, we examine the distributions of (un)directed…
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a…
The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…
The ground state properties of spin-1/2 ladders are studied, emphasizing the role of frustration and ring exchange coupling. We present a unified field theory for ladders with general coupling constants and geometry. Rich phase diagrams can…
Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this…
Matching markets are often organized in a multi-stage and decentralized manner. Moreover, participants in real-world matching markets often have uncertain preferences. This article develops a framework for learning optimal strategies in…
We investigate a one-dimensional tight-binding model in which onsite potentials $\{\varepsilon_i\}$ exhibit power-law spatial correlations (with exponent $\alpha$) and the hopping amplitudes decay as $t_{ij}\sim |i-j|^{-\beta}$. This…