Related papers: Exogenous and Endogenous Price Jumps Belong to Dif…
We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs…
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
In our empirical study, we examine the price of liquid stocks after experiencing a large intraday price change using data from the NYSE and the NASDAQ. We find significant reversal for both intraday price decreases and increases. The…
Extreme events are unusual and rare large-amplitude fluctuations that occur can unexpectedly in nonlinear dynamical systems. Events above the extreme event threshold of the probability distribution of a nonlinear process characterize…
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a…
Decisions to pursue higher education are not fully explained by economic incentives, with social influence and peer effects playing a crucial, yet dynamically understudied, role. This paper develops a theoretical non-linear dynamics model…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
We empirically study the activity patterns of individual blog-posting and find significant memory effects. The memory coefficient first decays in a power law and then turns to an exponential form. Moreover, the inter-event time distribution…
We consider direct modeling of underlying stock value movement sequences over time in the news-driven stock movement prediction. A recurrent state transition model is constructed, which better captures a gradual process of stock movement…
Intermittent large amplitude events are seen in the temporal evolution of a state variable of many dynamical systems. Such intermittent large events suddenly start appearing in dynamical systems at a critical value of a system parameter and…
Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying…
Solar flares, email exchanges, and many natural or social systems exhibit bursty dynamics, with periods of intense activity separated by long inactivity. These patterns often follow power- law distributions in inter-event intervals or event…
Spontaneous brain activity in the absence of external stimuli is not random but contains complex dynamical structures such as neuronal avalanches with power-law duration and size distributions. These experimental observations have been…
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the…
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time.…
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process,…