Related papers: Exogenous and Endogenous Price Jumps Belong to Dif…
This paper examines how regulatory interventions in high-frequency financial markets affect price discovery. We focus on Breaking news, where dynamic circuit breakers trigger trading halts immediately after the release of macroeconomic…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
In recent years networks have gained unprecedented attention in studying a broad range of topics, among them in complex systems research. In particular, multi-agent systems have seen an increased recognition of the importance of the…
Popularity describes the dynamics of mass attention, and is a part of a broader class of population dynamics in ecology and social science literature. Studying accurate model of popularity is important for quantifying spreading of novelty,…
We study Exo-MDPs, a structured class of Markov Decision Processes (MDPs) where the state space is partitioned into exogenous and endogenous components. Exogenous states evolve stochastically, independent of the agent's actions, while…
In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation. We develop a mathematical model which captures aspects of…
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…
Standard macroeconomic models assume that households are rational in the sense that they are perfect utility maximizers, and explain economic dynamics in terms of shocks that drive the economy away from the stead-state. Here we build on a…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
The recent availability of large databases allows to study macroscopic properties of many complex systems. However, inferring a model from a fit of empirical data without any knowledge of the dynamics might lead to erroneous interpretations…
Unambiguous identification of the rewards driving behaviours of entities operating in complex open-ended real-world environments is difficult, partly because goals and associated behaviours emerge endogenously and are dynamically updated as…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
In this paper, I endeavour to construct a new model, by extending the classic exogenous economic growth model by including a measurement which tries to explain and quantify the size of technological innovation ( A ) endogenously. I do not…
Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous…
As a major part of the daily operation in an enterprise, purchasing frequency is of constant change. Recent approaches on the human dynamics can provide some new insights into the economic behaviors of companies in the supply chain. This…
A salient dynamic property of social media is bursting behavior. In this paper, we study bursting behavior in terms of the temporal relation between a preceding baseline fluctuation and the successive burst response using a frequency time…
The statistics of records in sequences of independent, identically distributed random variables is a classic subject of study. One of the earliest results concerns the stochastic independence of record events. Recently, records statistics…
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high…