Related papers: Endogenous Liquidity Crises
In complex systems, external parameters often determine the phase in which the system operates, i.e., its macroscopic behavior. For nearly a century, statistical physics has extensively studied systems' transitions across phases,…
In the ``Type-II'' regime, $m_{\rm Higgs}\gap m_{\rm gauge}$, the finite-temperature phase transition in spontaneously-broken gauge theories (including the standard model) must be be studied using a renormalization group treatment. Previous…
We discuss the non-equilibrium critical phenomena in liquids, and the models for these phenomena based on local equilibrium and extended scaling assumptions. Special situations are proposed for experimental tests of the theory.…
Falling liquid films become unstable due to inertial effects when the fluid layer is sufficiently thick or the slope sufficiently steep. This free surface flow of a single fluid layer has industrial applications including coating and heat…
Hysteresis is observed at second order phase transitions. Universal scaling formul\ae{} for the areas of hysteresis loops are written down. Critical exponents are defined, and related to other exponents for static and dynamic critical…
Liquidity withdrawal is a critical indicator of market fragility. In this project, I test a framework for forecasting liquidity withdrawal at the individual-stock level, ranging from less liquid stocks to highly liquid large-cap tickers,…
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this…
We comment on some recent, yet unpublished results concerning instabilities in complex systems and their applications. In particular, we briefly describe main observations during extensive computer simulations of two lattice nonequilibrium…
Understanding how societies react to epidemic threats requires more than tracking infection curves. Public perception, collective memory and behavioural adaptation interact through feedback loops that can amplify or suppress the spread of…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
Due to delays in the adaptation of production or delivery rates, supply chains can be dynamically unstable with respect to perturbations in the consumption rate, which is known as "bull-whip effect". Here, we study several conceivable…
We develop a mathematical model to describe the persistence of rule-breaking behaviors in societies, such as traffic violations, disregard for legal restrictions and other forms of noncompliance. Using a replicator-type dynamics with…
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…
In this paper, a new reliability model has been developed for a single system degrading stochastically which experiences soft and hard failure. Soft failure occurs when the physical deterioration level of the system is greater than a…
In today's global economy, supply chain (SC) entities have become increasingly interconnected with demand and supply relationships due to the need for strategic outsourcing. Such interdependence among firms not only increases efficiency but…
Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
The effect of leverage on liquidity is a tool for analysing the level of liquidity for a given production process. It measures the sensitivity of the level of liquidity that results from changes in the volume of production and unit…