Related papers: Crossover from linear to square-Root market impact
In system dynamics, the concept of loop impact measures the effect of a feedback loop on the curvature in the behaviour of the stocks in the loop (Hayward & Boswell, 2014). It is a ratio measure of the acceleration imparted by the loop into…
We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
In this paper we review some recent results dealing with the transition between microscopic and macroscopic scales in different fields, including kinetic theory, cells movement in biology, chemotaxis, flocking phenomena and agent systems.…
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…
This paper consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index RTS futures. In the second part we consider Poissonian multi--agent model of the COB. By varying parameters of…
In decision making problems for continuous state and action spaces, linear dynamical models are widely employed. Specifically, policies for stochastic linear systems subject to quadratic cost functions capture a large number of applications…
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.
We study the order-disorder transition in two-dimensional incompressible systems of motile particles with alignment interactions through extensive numerical simulations of the incompressible Toner-Tu (ITT) field theory and a detailed…
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…
This paper investigates the dynamics of risk transmission in cryptocurrency markets and proposes a novel framework for volatility forecasting. The framework uncovers two key empirical facts: the asymmetric amplification of volatility…
While traditional equity factor investing relies heavily on slow-moving fundamental accounting metrics, these models frequently suffer from factor crowding and miss real-time, sentiment-driven market dislocations. This study explores how…
In a fast scrambling many-body quantum system, information is spread and entanglement is built up on a timescale that grows logarithmically with the system size. This is of fundamental interest in understanding the dynamics of many-body…
Recent analyses of wetting in the semi-infinite two dimensional Ising model, extended to include both a surface coupling enhancement and a surface field, have shown that the wetting transition may be effectively first-order and that…
Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time and physical time. In detail, we present an analytic…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
We follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks built on two measures expressing relations between those…
This research presents a comprehensive framework for analyzing liquidity in financial markets, particularly in the context of high-frequency trading. By leveraging advanced machine learning classification techniques, including Logistic…
We study the cross-correlations in stock price changes between the S&P 500 companies by introducing a weighted random graph, where all vertices (companies) are fully connected, and each edge is weighted. The weight assigned to each edge is…