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We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and…
It is well known that highly volatile control laws, while theoretically optimal for certain systems, are undesirable from an engineering perspective, being generally deleterious to the controlled system. In this article we are concerned…
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by our previous work [23]. In this framework, the Limit Order…
The economic and financial variables of economic agents determine macroeconomic variables. Current models consider agents' variables that are determined by the sums of values and volumes of agents' trades during some time interval {\Delta}.…
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…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
The universal form for the average scattering intensity from systems undergoing order-disorder transitions is found by numerical integration of the Langevin dynamics. The result is nearly identical for simulations involving two different…
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…
We demonstrate that hyperuniformity, the suppression of density fluctuations at large length scales, emerges generically from the interplay between conservation laws and non-equilibrium driving. The underlying mechanism for this emergence…
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the diffusive behavior of stock prices at the…
The information entropy budget and the rate of information transfer between variables is studied in the context of a nonlinear reduced-order atmospheric model. The key ingredients of the dynamics are present in this model, namely the…
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…
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the…
The structure of very complicated irregular "microscopic" (local) entropy fluctuations around a big separated "macroscopic" (global) fluctuation in the statistical equilibrium was studied in numerical experiments on a simple 2--freedom…
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades $N$,…
Scale invariance is a central organizing principle in physics, underlying phenomena that range from critical behaviour in statistical mechanics to transport and chaos in nonlinear dynamical systems. Here we present a unified and physically…
We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of…
We study the power and limitations of posted prices in multi-unit markets, where agents arrive sequentially in an arbitrary order. We prove upper and lower bounds on the largest fraction of the optimal social welfare that can be guaranteed…
The apparantly irregular (unpredictable) space-time fluctuations in atmospheric flows ranging from climate (thousands of kilometers - years) to turbulence (millimeters - seconds) exhibit the universal symmetry of self-similarity.…
We introduce the notion of multi-dimensional chaos that applies to processes described by erratic functions of several dynamical variables. We employ this concept in the interpretation of classical and quantum scattering off a pinball…