Related papers: Interest Rate Dynamics and Commodity Prices
We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem…
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves…
When analyzing the components influencing the stock prices, it is commonly believed that economic activities play an important role. More specifically, asset prices are more sensitive to the systematic economic news that impose a pervasive…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
This is an old article which has never been posted for public use and which only appeard in a relatively hard-to-get Proceedings of the Sakharov Conference in Moscow (May, 1991). The subject of this article has received a lot of attention…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
We study the evolution of interest about climate change between different actors of the population, and how the interest of those actors affect one another. We first document the evolution individually, and then provide a model of cross…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…
Warm inflation dynamics is fundamentally based on a system-reservoir configuration in which the dynamics is dictated by a fluctuation-dissipation relation. Recent work by Cerioni et. al. (arXiv:0804.0163) examined dissipative dynamics with…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
The economic and financial variables of economic agents determine macroeconomic variables. Current models consider agents' variables that are determined by the sums of values and volumes of agents' trades during some time interval {\Delta}.…
We study a stochastic model for the diffusion of competing opinions in a population composed of three types of agents: trend-followers, opposers, and indifferent individuals. The decision dynamics are driven by reinforcement mechanisms,…
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
The rapid expansion of digital commerce platforms has amplified the strategic importance of coordinated pricing and inventory management decisions among competing retailers. Motivated by practices on leading e-commerce platforms, we analyze…
We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms by which the evolutions of the various…