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Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
The recent framework of performative prediction is aimed at capturing settings where predictions influence the target/outcome they want to predict. In this paper, we introduce a natural multi-agent version of this framework, where multiple…
This article is a follow-up of a short essay that appeared in Nature 455, 1181 (2008) [arXiv:0810.5306]. It has become increasingly clear that the erratic dynamics of markets is mostly endogenous and not due to the rational processing of…
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and…
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we consider only local linear market impact. We study the…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
Effective demand forecasting is critical for inventory management, production planning, and decision making across industries. Selecting the appropriate model and suitable features to efficiently capture patterns in the data is one of the…
Encouraged by decision makers' appetite for future information on topics ranging from elections to pandemics, and enabled by the explosion of data and computational methods, model based forecasts have garnered increasing influence on a…
Predicting extreme events in chaotic systems, characterized by rare but intensely fluctuating properties, is of great importance due to their impact on the performance and reliability of a wide range of systems. Some examples include…
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…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…
Missing values arise in most real-world data sets due to the aggregation of multiple sources and intrinsically missing information (sensor failure, unanswered questions in surveys...). In fact, the very nature of missing values usually…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…
Poor economies not only produce less; they typically produce things that involve fewer inputs and fewer intermediate steps. Yet the supply chains of poor countries face more frequent disruptions---delivery failures, faulty parts, delays,…
In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…
The interevent time of terrorism attack events is investigated by empirical data and model analysis. Empirical evidence shows it follows a scale-free property. In order to understand the dynamic mechanism of such statistic feature, an…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…