Related papers: How does liquidity shape the yield curve?
We investigate, using a recently developed model of liquid state theory describing the rheology of dense granular flows, how a yield stress appears in granular matter at the yielding transition. Our model allows us to predict an analytical…
We use a recently proved fluctuation theorem for the currents to develop the response theory of nonequilibrium phenomena. In this framework, expressions for the response coefficients of the currents at arbitrary orders in the thermodynamic…
The influence of the past price behaviour on the realized volatility is investigated in the present article. The results show that trending (drifting) prices lead to increased (decreased) realized volatility. This ``volatility induced by…
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
We explore the rheology predicted by a recently proposed constitutive model for jammed suspensions of soft elastic particles derived from particle-level dynamics [Cuny et al., Phys. Rev. Lett. 127, 218003 (2021)]. Our model predicts that…
Incompressible fluids in microfluidic networks with non-rigid channels can exhibit flow rate oscillations analogous to electric current oscillations in RLC circuits. This is due to the elastic deformation of channel walls that can store and…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
Non-Newtonian fluid flow might be driven by spatially nonlocal velocity, the dynamics of which can be described by promising fractional derivative models. This short communication proposes a space FrActional-order Constitutive Equation…
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow…
We suggest that the broad distribution of time scales in financial markets could be a crucial ingredient to reproduce realistic price dynamics in stylised Agent-Based Models. We propose a fractional reaction-diffusion model for the dynamics…
In nonequilibrium steady states of Markov jump processes, we derive exact Fluctuation-Response Relations (FRRs) that express the covariance between any pair of currents in terms of static responses in a notably simple form, thus…
In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve…
Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
We use nonequilibrium molecular dynamics simulations to verify recent tube-model predictions that associative polymer networks exhibit broad stretch fluctuations during elongational flow. Simulations further show that these fluctuating…
We experimentally investigate the flow of a viscoelastic fluid in a parallel shear geometry at low Reynolds number. As the flow becomes unstable via a nonlinear subcritical instability, velocimetry measurements show non-periodic…