Related papers: Dynamic Coupling and Market Instability
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations…
For a many-to-one matching model, we study the matchings obtained through the restabilization of stable matchings that had been disrupted by a change in the population. We include a simple representation of the stable matching obtained in…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and traders anticipate future evolutions of the order book. The…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
This note analyzes incoherent feedforward loops in signal processing and control. It studies the response properties of IFFL's to exponentially growing inputs, both for a standard version of the IFFL and for a variation in which the output…
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalization, floor price, the number of transactions, the…
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…
We study geometrical destabilization of inflation with the aim of determining the fate of excited unstable modes. We use numerical lattice simulations to track the dynamics of both the inflaton and the spectator field. We find that…
This paper proposes an approach to addresses the control challenges posed by a fault-induced uncertainty in both the dynamics and control input effectiveness of a class of hierarchical nonlinear systems in which the high-level dynamics is…
Oscillatory systems with time-delayed pulsatile feedback appear in various applied and theoretical research areas, and received a growing interest in the last years. For such systems, we report a remarkable scenario of destabilization of a…
Robotic control systems are increasingly relying on distributed feedback controllers to tackle complex sensing and decision problems such as those found in highly articulated human-centered robots. These demands come at the cost of a…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…
The energy transition introduces more volatile energy sources into the power grids. In this context, power transfer between different synchronous areas through High Voltage Direct Current (HVDC) links becomes increasingly important. Such…
Non-Hermitian two-site ``dimers'' serve as minimal models in which to explore the interplay of gain and loss in dynamical systems. In this paper, we experimentally and theoretically investigate the dynamics of non-Hermitian dimer models…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…
Motivated from a wide range of applications, various methods to control synchronization in coupled oscillators have been proposed. Previous studies have demonstrated that global feedback typically induces three macroscopic behaviors:…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…