Related papers: Dynamic Coupling and Market Instability
We study the stability properties of a control system composed of a dynamical plant and a feedback controller, the latter generating control signals that can be compromised by a malicious attacker. We consider two classes of feedback…
We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
Highly nonlinear behavior of a system of discrete sites on a lattice is observed when a specific feedback loop is introduced into models employing coupled map lattices, quantum cellular automata, or the real-valued analogues of the latter.…
Link prediction models are increasingly used to recommend interactions in evolving networks, yet their impact on network structure is typically assessed from static snapshots. In particular, observed homophily conflates intrinsic…
High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal of the paper is to propose continuous time equations which…
We utilize a chartist-fundamentalist model to examine the limits of informationally efficient stock markets. In our model, chartists are permanently active in the stock market, while fundamentalists trade only when their…
Transactive or market-based coordination strategies have recently been proposed for controlling the aggregate demand of a large number of electric loads. Such schemes offer operational benefits such as enforcing distribution feeder capacity…
We consider the problem of optimizing the steady state of a dynamical system in closed loop. Conventionally, the design of feedback optimization control laws assumes that the system is stationary. However, in reality, the dynamics of the…
Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and…
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and…
Interactions in nature can be described by their coupling strength, direction of coupling and coupling function. The coupling strength and directionality are relatively well understood and studied, at least for two interacting systems,…
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomena in financial markets. The first pathway is caused when…
Oscillatory dynamics are ubiquitous in biological networks. Possible sources of oscillations are well understood in low-dimensional systems, but have not been fully explored in high-dimensional networks. Here we study large networks…
This paper considers the optimization landscape of linear dynamic output feedback control with $\mathcal{H}_\infty$ robustness constraints. We consider the feasible set of all the stabilizing full-order dynamical controllers that satisfy an…
This paper investigates the stability and stabilization of diffusively coupled network dynamical systems. We leverage Lyapunov methods to analyze the role of coupling in stabilizing or destabilizing network systems. We derive critical…
We propose and analyze numerically a simple dynamical model that describes the firm behaviors under uncertainty of demand forecast. Iterating this simple model and varying some parameters values we observe a wide variety of market dynamics…