Related papers: Endogenous Liquidity Crises
A simple model economy with locally interacting producers and consumers is introduced. When driven by extremal dynamics, the model self-organizes {\em not} to an attractor state, but to an asymptote, on which the economy has a constant rate…
Previous research has found that high-frequency traders will vary the bid or offer price rapidly over periods of milliseconds. This is a benefit to fast traders who can time their trades with microsecond precision, however it is a cost to…
Supply networks are essential for modern production, yet their critical properties remain understudied. We present a stochastic model with random production capacities to analyze material flow to a root node, focusing on topology and buffer…
The dynamics of weak vs. strong first order phase transitions is investigated numerically for 2+1 dimensional scalar field models. It is argued that the change from a weak to a strong transition is itself a (second order) phase transition,…
Active systems, from bacterial suspensions to cellular monolayers, are continuously driven out of equilibrium by local injection of energy from their constituent elements and exhibit turbulent-like and chaotic patterns. Here we demonstrate…
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular…
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising…
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encoded in the order flow, with those of the propagator model, a…
Understanding how market participants react to shocks like scheduled macroeconomic news is crucial for both traders and policymakers. We develop a calibrated data generation process DGP that embeds four stylized trader archetypes retail,…
A foundational assumption in complex-system collapse studies is that critical transitions are second-order, preceded by early-warning signals like rising autocorrelation, variance, and critical slowing down (Scheffer, 2009). We show this…
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…
Experimental systems with a first order phase transition will often exhibit hysteresis when out of equilibrium. If defects are present, the hysteresis loop can have different shapes: with small disorder the hysteresis loop has a macroscopic…
This paper derives nonlinear feedback control synthesis for general control affine systems using second-order actions---the needle variations of optimal control---as the basis for choosing each control response to the current state. A…
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential…
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…
We construct an equilibrium for the continuous time Kyle's model with stochastic liquidity, a general distribution of the fundamental price, and correlated stock and volatility dynamics. For distributions with positive support, our…
We study the instability development during a viscous liquid drop impacting a smooth substrate, using high speed photography. The onset time of the instability highly depends on the surrounding air pressure and the liquid viscosity: it…
Prediction markets are starting to look less like crowd polls and more like electronic markets. The central question is therefore no longer only whether these markets forecast well, but what happens when institutional liquidity enters: do…
We study non-stationary single-item, periodic-review inventory control problems in which the demand distribution is unknown and may change over time. We analyze how demand non-stationarity affects learning performance across inventory…
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25]. To this scope, we extend the…