Related papers: How does liquidity shape the yield curve?
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on the interest rate and energy futures markets.…
The long-ranged elastic model, which is believed to describe the evolution of a self-affine rough crack-front, is analyzed to linear and non-linear orders. It is shown that the nonlinear terms, while important in changing the front…
We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…
The flow of frictionless granular particles is studied with stress-controlled discrete element modeling simulations for systems varying in size from 300 to 100,000 particles. The volume fraction and shear stress ratio $\mu$ are relatively…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of this paper is to investigate passive market impact by…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts, including the dynamics of volatility. In the mathematical…
We observe the emergence of a distinct, elasticity-driven flow state in a yield-stress fluid in the absence of inertia. Numerical simulations show that this elasto-plastic turbulent state is characterized by a broad spectrum of fluctuations…
A characteristic feature of the Portevin - Le Chatelier effect or the jerky flow is the stick-slip nature of stress-strain curves which is believed to result from the negative strain rate dependence of the flow stress. The latter is assumed…
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 solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…
Two aspects of turbulent flows have been the subject of extensive, split research efforts: macroscopic properties, such as the frictional drag experienced by a flow past a wall, and the turbulent spectrum. The turbulent spectrum may be said…
We propose a mathematical model to describe the athermal fluctuations of thin sheets driven by the type of random driving that might be experienced prior to weak crumpling. The model is obtained by merging the F\"oppl-von K\'arm\'an…
Communication is now a standard tool in the central bank's monetary policy toolkit. Theoretically, communication provides the central bank an opportunity to guide public expectations, and it has been shown empirically that central bank…
We present a simple model to account for the rheological behavior observed in recent experiments on micellar gels. The model combines attachment-detachment kinetics with stretching due to shear, and shows well-defined jammed and flowing…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…