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This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
We study the competition for partners in two-sided matching markets with heterogeneous agent preferences, with a focus on how the equilibrium outcomes depend on the connectivity in the market. We model random partially connected markets,…
We examine a system of N=2 coupled non-linear delay-differential equations representing financial market dynamics. In such time delay systems, coupled oscillations have been derived. We linearize the system for small time delays and study…
Relation between dips of post-stack migrated and unmigrated data is well known and easy to derive. A similar relation between dips of pre-stack migrated and unmigrated constant offset data is not available in literature and is calculated…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
We consider the contact process near an extended surface defect, where the local control parameter deviates from the bulk one by an amount of $\lambda(l)-\lambda(\infty) = A l^{-s}$, $l$ being the distance from the surface. We concentrate…
Blockchain finance has become a part of the world financial system, most typically manifested in the attention to the price of Bitcoin. However, a great deal of work is still limited to using technical indicators to capture Bitcoin price…
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…
This paper studies stochastic mechanisms under which light-tailed latent price dynamics yield realized prices with power-law tails. The realized price is modeled as $P_T=e^{X_T}$, where $X$ is a Markov-modulated L\'evy process and $T$ is…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
The introduction of leverage on prediction-market event contracts raises three structurally distinct questions that have not been addressed jointly: how leverage changes manipulation incentives, how it interacts with informed-trading rents,…
We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative)…
We investigate the optimal execution of contracts that are used in merger\&acquisition deals. We consider cash-settled and physically delivered contracts between a broker and a counterpart. Contracts are linear (total returns swaps),…
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50…
Stripe states in multilayer systems with perpendicular polarization are investigated by analytical calculations within a general continuum approach, applicable to ferromagnetic, ferroelectric, or ferroelastic nanoscale superlattices. The…
With the daily and minutely data of the German DAX and Chinese indices, we investigate how the return-volatility correlation originates in financial dynamics. Based on a retarded volatility model, we may eliminate or generate the…
In a money exchange process involving a seller and a buyer, we develop a straightforward model encompassing conservative, non-conservative, and systems with or without debt. Our model integrates the Fermi function to capture the behavior of…
This paper investigates the financial economics of simple periodic systems. Well-established financial procedures appear to be complicated, and lead to partially biased results. Probability theory is applied, and the focus is on the…
Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Underlying data sets are affected by non-stationarities and trends, we also apply…
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…