Related papers: How does liquidity shape the yield curve?
Flagella and cilia are examples of actively oscillating, whiplike biological filaments that are crucial to processes as diverse as locomotion, mucus clearance, embryogenesis and cell motility. Elastic driven rod-like filaments subjected to…
The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the…
Main characteristics of colloidal systems that develop fluid phases with different mechanical properties, namely shear-banding fluids, are briefly reviewed both from experimental and theoretical (modelling) point of view. A non-monotonic…
We find empirically a characteristic sharp peak-flat trough pattern in a large set of commodity prices. We argue that the sharp peak structure reflects an endogenous inter-market organization, and that peaks may be seen as local…
Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…
Drawing on an analogy to critical phenomena, it was shown that the Nikuradse turbulent friction factor ($f_t$) measurements in pipes of radius $R$ and wall roughness $r$ can be collapsed onto a one-dimensional curve expressed as a…
In this note we analyze a model for a unidirectional unsteady flow of a viscous incompressible fluid with time dependent viscosity. A possible way to take into account such behaviour is to introduce a memory formalism, including thus the…
Adhesion hysteresis can be caused by elastic instabilities that are triggered by surface roughness or chemical heterogeneity. However, the role of these instabilities in adhesion hysteresis remains poorly understood because we lack…
We study the evolution of velocity fluctuations due to an isolated spatio-temporal impulse using the linearized Navier-Stokes equations. The impulse is introduced as an external body force in incompressible channel flow at $Re_\tau=10000$.…
The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus…
Non-locality is crucial to understand the plastic flow of an amorphous material, and has been successfully described by the fluidity, along with a cooperativity length scale {\xi}. We demonstrate, by applying the scaling hypothesis to the…
The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity and completeness. This paper develops a statistical SOFR…
We show that besides simple or thixotropic yield stress fluids there exists a third class of yield stress fluids. This is illustrated through the rheological behavior of a carbon black suspension, which is shown to exhibit a viscosity…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
We analyse the flow curves of a two-dimensional assembly of granular particles which are interacting via frictional contact forces. For packing fractions slightly below jamming, the fluid undergoes a large scale instability, implying a…
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power…