Related papers: Interplay between endogenous and exogenous fluctua…

We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…

Noisy fluctuations are ubiquitous in complex systems. They play a crucial or delicate role in the dynamical evolution of gene regulation, signal transduction, biochemical reactions, among other systems. Therefore, it is essential to…

This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…

In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…

Due to inherent noise in intracellular networks cellular decisions can be random, so genetically identical cells can display different phenotypic behavior even in identical environments. Most previous work in understanding the…

Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…

Networks of interacting, communicating subsystems are common in many fields, from ecology, biology, epidemiology to engineering and robotics. In the presence of noise and uncertainty, inter- actions between the individual components can…

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…

The properties of the fluctuations large enough to induce bifurcations at open chemical systems at steady constraints are studied. The fluctuations that come from the diffusion-induced noise are considered. It is a generic for the surface…

Oscillatory networks subjected to noise are broadly used to model physical and technological systems. Due to their nonlinear coupling, such networks typically have multiple stable and unstable states that a network might visit due to noise.…

Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…

Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…

This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…

We test the hypothesis that interconnections across financial institutions can be explained by a diversification motive. This idea stems from the empirical evidence of the existence of long-term exposures that cannot be explained by a…

We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their…

In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be…

The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X…

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…

We study the role of noise on the nature of the transition to collective motion in dry active matter. Starting from field theories that predict a continuous transition at the deterministic level, we show that fluctuations induce a…