Related papers: How does liquidity shape the yield curve?
The plastic flow of a foam results from bubble rearrangements. We study their occurrence in experiments where a foam is forced to flow in 2D: around an obstacle; through a narrow hole; or sheared between rotating disks. We describe their…
In this paper, we study the pricing of contracts in fixed income markets under volatility uncertainty in the sense of Knightian uncertainty or model uncertainty. The starting point is an arbitrage-free bond market under volatility…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…
This work studies the effectiveness of several machine learning techniques for predicting extreme events occurring in the flow around an airfoil at low Reynolds. For certain Reynolds numbers the aerodynamic forces exhibit intermittent…
We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orders are submitted at high frequency. We derive a functional central limit theorem for the joint dynamics of the bid and ask queues and show…
We report on measurements of the transverse fluctuations of a string in a turbulent air jet flow. Harmonic modes are excited by the fluctuating drag force, at different wave-numbers. This simple mechanical probe makes it possible to measure…
An elegant approach, which incorporates the effect of the stringy spacetime uncertainty relation, to calculate power spectra of fluctuations during inflation has been suggested by Brandenberger and Ho. In this approach, one of important…
In this Letter, we consider a neutral system of mobile positive and negative charges confined on the surface of curved films. This may be an appropriate model for: i) a highly charged membrane whose counterions are confined to a sheath near…
We study how idiosyncratic firm-level shocks generate aggregate volatility and tail risk when they propagate through a production network under overlapping adjustment: new productivity draws arrive before the economy reaches the static…
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of…
We develop a stochastic model for the velocity gradients dynamics along a Lagrangian trajectory. Comparing with different attempts proposed in the literature, the present model, at the cost of introducing a free parameter known in…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framework allows one to compute the average price trajectory in the…
We consider a model for interest rates, where the short rate is given by a time-homogenous, one-dimensional affine process in the sense of Duffie, Filipovic and Schachermayer. We show that in such a model yield curves can only be normal,…
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…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
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…