Related papers: Correlation emergence in two coupled simulated lim…
We propose an analytically tractable class of models for the dynamics of a limit order book, described through a stochastic partial differential equation (SPDE) with multiplicative noise for the order book centered at the mid-price, along…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
A new upscaling procedure that provides 1D representations of 2D mixing-limited reactive transport systems is developed and applied. A key complication with upscaled models in this setting is that the procedure must differentiate between…
Many environmental processes exhibit weakening spatial dependence as events become more extreme. Well-known limiting models, such as max-stable or generalized Pareto processes, cannot capture this, which can lead to a preference for models…
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
We develop a model of algorithmic pricing that shuts down every channel for explicit or implicit collusion while still generating collusive outcomes. We analyze the dynamics of a duopoly market where both firms use pricing algorithms…
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
Network effects are the added value derived solely from the popularity of a product in an economic market. Using agent-based models inspired by statistical physics, we propose a minimal theory of a competitive market for (nearly)…
Overdamped stochastic systems maintained far from equilibrium can display sustained oscillations with fluctuations that decrease with the system size. The correlation time of such noisy limit cycles expressed in units of the cycle period is…
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls…
Exponential averages that appear in integral fluctuation theorems can be recast as a sum over moments of thermodynamic observables. We use two examples to show that such moment series can exhibit non-uniform convergence in certain singular…
Strong correlation effects, which are often associated to the approach to a Mott insulating state, in some cases may be observed even far from half-filling. This typically happens whenever the inter-site Coulomb repulsion induces a tendency…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
Discontinuous percolation transitions and the associated tricritical points are manifest in a wide range of both equilibrium and non-equilibrium cooperative phenomena. To demonstrate this, we present and relate the continuous and first…
Algorithmic agents are used in a variety of competitive decision-making settings, including pricing contexts that range from online retail to residential home rental. We study the emergence of algorithmic collusion when competing agents…
This paper focuses on some simple models of limit order book dynamics which simulate market trading mechanisms. We start with a discrete time/space Markov process and then perform a re-scaling procedure leading to a deterministic dynamical…
Dynamical encirclement of an Exceptional Point (EP) and corresponding time-asymmetric mode evolution properties due to breakdown in adiabatic theorem have been a key to range of exotic physical effects in various open atomic, molecular and…