Related papers: Impact is not just volatility
Argumentation is a formalism allowing to reason with contradictory information by modeling arguments and their interactions. There are now an increasing number of gradual semantics and impact measures that have emerged to facilitate the…
We examine vacuum fluctuations in theories with modified dispersion relations which represent dimensional reduction at high energies. By changing units of energy and momentum we can obtain a description rendering the dispersion relations…
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…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of…
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…
Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…
We question the existence of one-loop corrections to the large-scale power spectrum from small-scale modes in non-slow-roll dynamics which are not volume suppressed by the ratio of the short to long distance scales. One-loop contributions…
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular, futures imply returns for these implied…
Models of how things spread often assume that transmission mechanisms are fixed over time. However, social contagions--the spread of ideas, beliefs, innovations--can lose or gain in momentum as they spread: ideas can get reinforced, beliefs…
We propose a mechanism to produce fluctuations in the viscosity parameter ($\alpha$) in differetially rotating discs. We carried out a nonlinear analysis of a general accretion flow, where any perturbation on the background $\alpha$ was…
We consider two-tier voting system and try to determine optimal weights for a fair representation in such systems. A prominent example of such a voting system is the Council of Ministers of the European Union. Under the assumption of…
Macroeconomic fluctuations and the narratives that shape them form a mutually reinforcing cycle: public discourse can spur behavioural changes leading to economic shifts, which then result in changes in the stories that propagate. We show…
The fluctuation scaling law has universally been observed in a wide variety of phenomena. For counting processes describing the number of events occurred during time intervals, it is expressed as a power function relationship between the…
Scale invariance is a central organizing principle in physics, underlying phenomena that range from critical behaviour in statistical mechanics to transport and chaos in nonlinear dynamical systems. Here we present a unified and physically…
In three-dimensional turbulence, information of turbulent fluctuations at large scales is propagated to small scales. Here, we investigate the relation between the information flow and turbulent fluctuations described by a shell model. We…
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member…
Turbulence is generally associated with universal power-law spectra in scale ranges without significant drive or damping. Although many examples of turbulent systems do not exhibit such an inertial range, power-law spectra may still be…