Related papers: High-frequency dynamics of the implied volatility …
The identification of the limiting factors in the dynamical behavior of complex systems is an important interdisciplinary problem which often can be traced to the spectral properties of an underlying network. By deriving a general relation…
We review recent progress in modeling the probability distribution of wave heights in the deep ocean as a function of a small number of parameters describing the local sea state. Both linear and nonlinear mechanisms of rogue wave formation…
We derive the nonlinear fractional surface wave equation that governs compression waves at an interface that is coupled to a viscous bulk medium. The fractional character of the differential equation comes from the fact that the effective…
We report a molecular dynamics simulation study of the sound waves in vitreous silica in the mesoscopic exchanged momentum range. The calculated dynamical structure factors are in quantitative agreement with recent experimental inelastic…
In this note we examine the dynamical role played by inertial forces on the surface temperature (or buoyancy) variance in strongly rotating, stratified flows with uniform potential vorticity fields. In particular, using a dynamic,…
Wave phenomena can be artificially engineered by scattering from metasurfaces, which aids in the design of radio-frequency and optical devices for wireless communication, sensing, imaging, wireless power transfer and bio/medical…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…
The Hawkes self-excited point process provides an efficient representation of the bursty intermittent dynamics of many physical, biological, geological and economic systems. By expressing the probability for the next event per unit time…
We determine the large size limit of a network of interacting Hawkes Processes on an adaptive network. The flipping of the node variables is taken to have an intensity given by the mean-field of the afferent edges and nodes. The flipping of…
We propose a deep hedging framework for index option portfolios, grounded in a realistic market simulator that captures the joint dynamics of S&P 500 returns and the full implied volatility surface. Our approach integrates surface-informed…
Multi-dimensional Hawkes process (MHP) is a class of self and mutually exciting point processes that find wide range of applications -- from prediction of earthquakes to modelling of order books in high frequency trading. This paper makes…
We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity that are…
We investigate the effect of a light turbulent wind on a liquid surface, below the onset of wave generation. In that regime, the liquid surface is populated by small disorganised deformations elongated in the streamwise direction. Formally…
Soft elastic sheets resting on rigid surfaces develop wrinkles, rucks, and folds due to the combined influence of elasticity, gravity, and contact interactions. Despite their ubiquity, the principles governing their morphology and…
Turbulence in a system of nonlinearly interacting waves is referred to as wave turbulence. It has been known since seminal work by Kolmogorov, that turbulent dynamics is controlled by a directional energy flux through the wavelength scales.…
Flagellated bacteria exploiting helical propulsion are known to swim along circular trajectories near surfaces. Fluid dynamics predicts this circular motion to be clockwise (CW) above a rigid surface (when viewed from inside the fluid) and…
Volatility is the language in which finance often describes risk, but it is not the language in which institutions experience risk. Allocators live through drawdowns, liquidity needs, spending rules, rebalance decisions, board oversight,…
We report on an instability arising when surface gravity waves propagate in a rotating frame. The Stokes drift associated to the uniform wave field, together with global rotation, drives a mean flow in the form of a horizontally invariant…
Knowledge of turbulent flows over non-flat surfaces is of major practical interest in diverse applications. Significant work continues to be reported in the roughness regime at high Reynolds numbers where the cumulative effect of surface…
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that…