Related papers: Collective synchronization and high frequency syst…
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…
Bursty dynamics is a common temporal property of various complex systems in Nature but it also characterises the dynamics of human actions and interactions. At the phenomenological level it is a feature of all systems that evolve…
There is a commonality among contagious diseases, tweets, urban crimes, nuclear reactions, and neuronal firings that past events facilitate the future occurrence of events. The spread of events has been extensively studied such that the…
Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…
Many events occur in the world. Some event types are stochastically excited or inhibited---in the sense of having their probabilities elevated or decreased---by patterns in the sequence of previous events. Discovering such patterns can help…
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
The study of synchronization of coupled systems is currently undergoing a major surge fueled by recent discoveries of new forms of collective dynamics and the development of techniques to characterize a myriad of new patterns of network…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
A key difficulty that arises from real event data is imprecision in the recording of event time-stamps. In many cases, retaining event times with a high precision is expensive due to the sheer volume of activity. Combined with practical…
The paper constructs a multi-variate Hawkes process model of Bitcoin block arrivals and price jumps. Hawkes processes are selfexciting point processes that can capture the self- and cross-excitation effects of block mining and Bitcoin price…
In a discrete-time setting, we consider an arrival process $\left\{\xi_n \, \middle| \, n = 1, 2, \ldots \right\}$, which models the occurrence of events, and a corresponding point process $\left\{H_n \, \middle| \, n = 1, 2, \ldots…
The major study by Bordo and Helbing (2003) analyses the business cycle in Western economies 1881-2001. They examine four distinct periods in economic history, and conclude that there is a secular trend towards greater synchronisation for…
Business cycles tend to comove across countries. However, standard models that attribute comovement to propagation of exogenous shocks struggle to generate a level of comovement that is as high as in the data. In this paper, we consider…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the…
In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs, the intensity increases and we expect more jumps to come.…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
The global chaos caused by the 19 July 2024 technology meltdown highlights the need for a theory of what large-scale cohesive behaviors -- dangerous or desirable -- could suddenly emerge from future systems of interacting humans, machinery…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…