Related papers: Interplay between endogenous and exogenous fluctua…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
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…
We analyze a simple macroeconomic model where rational inflation expectations is replaced by a boundedly rational, and genuinely sticky, response to changes in the actual inflation rate. The stickiness is introduced in a novel way using a…
A stochastic model of excitatory and inhibitory interactions which bears universality traits is introduced and studied. The endogenous component of noise, stemming from finite size corrections, drives robust inter-nodes correlations, that…
We study the dynamics of fronts when both inertial effects and external fluctuations are taken into account. Stochastic fluctuations are introduced as multiplicative noise arising from a control parameter of the system. Contrary to the…
We consider a network of randomly coupled rate-based neurons influenced by external and internal noise. We derive a second-order stochastic mean-field model for the network dynamics and use it to analyze the stability and bifurcations in…
Fluctuations and noise may alter the behavior of dynamical systems considerably. For example, oscillations may be sustained by demographic fluctuations in biological systems where a stable fixed point is found in the absence of noise. We…
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a…
Collective dynamics result from interactions among noisy dynamical components. Examples include heartbeats, circadian rhythms, and various pattern formations. Because of noise in each component, collective dynamics inevitably involve…
When can complex ecological interactions drive an entire ecosystem into a persistent non-equilibrium state, where species abundances keep fluctuating without going to extinction? We show that high-diversity spatially-extended systems, in…
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large…