Related papers: Impact is not just volatility
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…
Black-Scholes implied volatility is a quantile. The insight follows from the normalized option price being a probability on the variance scale, with the inverse Gaussian distribution providing the link. It enables analytically exact and…
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
We study the effects of the interaction terms between the inflaton fields on the inflationary dynamics in multi-field models. With power law type potential and interactions, the total number of e-folds may get considerably reduced and can…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
Scale invariance is considered in the context of gravitational theories where the action, in the first order formalism, is of the form $S = \int L_{1} \Phi d^4x$ + $\int L_{2}\sqrt{-g}d^4x$ where the volume element $\Phi d^4x$ is…
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…
The concept of impact is one of the most important concepts in informetrics. It is here studied mathematically. We first fix a topic for which we want to find influential objects such as authors or journals, and their production, such as…
We explore the noncommutative effect on single field inflation and compare with WMAP five-year data. First, we calculate the noncommutative effect from the potential and dynamical terms, and construct the general form of modified power…
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged…
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…
The nonperturbative aspects of string theory are explored for non-critical string in two distinct formulations: loop equations and matrix models. The effects corresponding to D-brane in these formulations are especially investigated in…
Metcalfe's Law captures the relationship between the value of a network and its scale, asserting that a network's value is directly proportional to the square of its size. Over the past four decades, various researchers have proposed…
We review from the point of view of nonextensive statistics the ubiquitous presence in elementary and heavy-ion collisions of power-law distributions. Special emphasis is placed on the conjecture that this is just a reflection of some…
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…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
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…