Related papers: Endogenous Liquidity Crises
The phase transitions and critical properties of two types of inhomogeneous systems are reviewed. In one case, the local critical behaviour results from the particular shape of the system. Here scale-invariant forms like wedges or cones are…
We present Monte Carlo simulations on a lattice system that displays a first order phase transition between a disordered phase (liquid) and an ordered phase (crystal). The model is augmented by an interaction that simulates the effect of…
Systems that exhibit complex behaviours are often found in a particular dynamical condition, poised between order and disorder. This observation is at the core of the so-called criticality hypothesis, which states that systems in a…
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…
Prediction markets rely on liquidity to convert trades into informative prices, yet existing mechanisms fix liquidity ex ante. This restriction enforces a static trade-off between price responsiveness and worst-case loss despite inherently…
A short-time dynamic approach to weak first order phase transitions is proposed. Taking the 2-dimensional Potts models as examples, from short-time behaviour of non-equilibrium relaxational processes starting from high temperature and zero…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
Feedback loops are essential for regulating cell proliferation and maintaining the delicate balance between cell division and cell death. Thanks to the exact solution of a few simple models of cell growth it is by now clear that stochastic…
We propose a simple framework to understand commonly observed crisis waves in macroeconomic Agent Based models, that is also relevant to a variety of other physical or biological situations where synchronization occurs. We compute exactly…
We present a general framework for modelling the dynamics of limit order books, built on the combination of two modelling ingredients: the order flow, modelled as a general spatial point process, and market clearing, modelled via a…
Many dynamical systems operate in a fluctuating environment. However, even in low-dimensional setups, transitions and bifurcations have not yet been fully understood. In this Letter we focus on crises, a sudden flooding of the phase space…
Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
Business cycles tend to comove across countries. However, standard models that attribute comovement to propagation of exogenous shocks struggle to generate a level of comovement that is as high as in the data. In this paper, we consider…
Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due to a progressive reputation cascade or…
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the…
We propose a modeling framework for the dynamics of a reduced form order book in event time and based on event sizes. Our framework for the order book is influenced by [9], but compared to [9] we allow the best bid ask spread to be larger…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
This paper studies a stylized model of local interaction where agents choose from an ever increasing set of vertically ranked actions, e.g. technologies. The driving forces of the model are infrequent upward shifts (``updates''), followed…
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…