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The out-of-time ordered correlator (OTOC) is a measure of scrambling of quantum information. Scrambling is intuitively considered to be a significant feature of chaotic systems and thus the OTOC is widely used as a measure of chaos. For…
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free…
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we consider only local linear market impact. We study the…
The prime numbers have been a source of fascination for millenia and continue to surprise us. Motivated by the hyperuniformity concept, which has attracted recent attention in physics and materials science, we show that the prime numbers in…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
The Multiscale Law of Requisite Variety is a scientific law relating, at each scale, the variation in an environment to the variation in internal state that is necessary for effective response by a system. While this law has been used to…
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23…
The concept of structural invariance previously introduced by the authors is used to argue that the connection between random matrix theory and quantum systems with a chaotic classical counterpart is in fact largely exact in the…
Publicly traded companies are fundamental units of contemporary economies and markets and are important mechanisms through which humans interact with their environments. Understanding the general properties that underlie the processes of…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
Metcalfe's Law captures the relationship between the value of a network and its scale, asserting that a network's value is directly proportional to the square of its size. Over the past four decades, various researchers have proposed…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
The large scale fluctuations of the ordered state in active matter systems are usually characterised by studying the "giant number fluctuations" of particles in any finite volume, as compared to the expectations from the central limit…
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
The control of large queueing networks is a notoriously difficult problem. Recently, an interesting new policy design framework for the control problem called h-MaxWeight has been proposed: h-MaxWeight is a natural generalization of the…
Martensites subjected to quasistatic deformation are known to exhibit power law distributed acoustic emission in a broad range of scales, however, the origin of the observed scaling behavior and the mechanism of self-organization towards…
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
The functional defined as the squared modulus of the spatial average of the wave function squared, plays the role of an ``order parameter'' for the transition between Hamiltonian ensembles with orthogonal and unitary symmetry. Upon breaking…