Related papers: Crossover from linear to square-Root market impact
Based upon mesoscale simulations of binary mixtures with very low surface tension and positive disjoining pressure (frustration), we measure the correlation length of the stress field within the flowing mixture, as a function of the…
There are two schools of thought regarding market impact modeling. On the one hand, seminal papers by Almgren and Chriss introduced a decomposition between a permanent market impact and a temporary (or instantaneous) market impact. This…
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential…
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…
Mathematical and computational models can assist in gaining an understanding of cell behavior at many levels of organization. Here, we review models in the literature that focus on eukaryotic cell motility at 3 size scales: intracellular…
We construct a planar process that switches randomly between the flows of two linear systems built from two Hurwitz matrices (all eigenvalues have negative real parts). The goal here is to study the long time behaviour according to the…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data…
Laboratory experiments point out the existence of patterns made of alternately laminar and turbulent oblique bands in plane Couette flow in its way to/from turbulence as the Reynolds number R is varied. Many previous theoretical and…
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance $\sigma^2$, the price impact $H$ and the predictability $K$ for both models with linear…
In the study of complex networks (systems), the scaling phenomenon of flow fluctuations refers to a certain power-law between the mean flux (activity) $<F_i>$ of the $i$th node and its variance $\sigma_i$ as $\sigma_i \propto < F_{i} >…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of…
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…
We address the question of market efficiency using the Minority Game (MG) model. First we show that removing unrealistic features of the MG leads to models which reproduce a scaling behavior close to what is observed in real markets. In…
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a…
This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlations between the volume-at-price buckets by a Fourier…
Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important role in analysis of hierarchical complex dynamical systems. Yet, its "canonical" formulation in terms of a single nuisance parameter…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
In many networks such as transportation or communication networks, distance is certainly a relevant parameter. In addition, real-world examples suggest that when long-range links are existing, they usually connect to hubs-the well connected…