Related papers: Exogenous and Endogenous Price Jumps Belong to Dif…
On-line social networks publish information on a high volume of real-world events almost instantly, becoming a primary source for breaking news. Some of these real-world events can end up having a very strong impact on on-line social…
Several works have observed heavy-tailed behavior in the distributions of returns in different markets, which are observable indicators of underlying complex dynamics. Such prior works study return distributions that are marginalized across…
We conduct a tone-based event study to examine the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental information that is useful for price discovery for nonfinancial S&P…
There are conflicting reports in the literature regarding the finite-size scaling of the Liouvillian gap and dynamical fluctuations at discontinuous phase transitions, with various studies reporting either exponential or power-law behavior.…
Critical states are sometimes identified experimentally through power-law statistics or universal scaling functions. We show here that such features naturally emerge from networks in self-sustained irregular regimes away from criticality.…
We present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control…
Unlike the well-studied models of growing networks, where the dominant dynamics consist of insertions of new nodes and connections, and rewiring of existing links, we study {\em ad hoc} networks, where one also has to contend with rapid and…
Many time series are effectively generated by a combination of deterministic continuous flows along with discrete jumps sparked by stochastic events. However, we usually do not have the equation of motion describing the flows, or how they…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…
We study rare events in the extreme value statistics of stochastic symmetric jump processes with power tails in the distributions of the jumps, using the big-jump principle. The principle states that in the presence of stochastic processes…
We have investigated the origin of fluctuations in the aggregated behaviour of an open-source software community. In a recent series of papers, de Menezes and co-workers have shown how to separate internal dynamics from external…
Landslides exhibit intermittent gravity-driven downslope movements developing over days to years before a possible major collapse, commonly boosted by external events like precipitations and earthquakes. The reasons behind these episodic…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
How information transmits through prices -- and why this transmission breaks down -- remains poorly understood. We combine regularized deconvolution with Hawkes process analysis to study the impulse response structure of investor flows in…
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and…
The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…