Related papers: Trade Execution Flow as the Underlying Source of M…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many…
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. This model has a natural scaling limit that reconciles a…
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential…
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…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…
Previous research primarily characterized price movements according to time intervals, resulting in temporal discontinuity and overlooking crucial activities in financial markets. Directional Change (DC) is an alternative approach to…
Predicting program behavior without execution is a critical task in software engineering. Existing models often fall short in capturing the dynamic dependencies among program elements. To address this, we present CodeFlow, a novel machine…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
Radon--Nikodym approach to relaxation dynamics, where probability density is built first and then used to calculate observable dynamic characteristic is developed and applied to relaxation type signals study. In contrast with $L^2$ norm…
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…
Deterministic equilibrium flows in transport networks can be investigated by means of Markov's processes defined on the dual graph representations of the network. Sustained movement patterns are generated by a subset of automorphisms of the…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
A flow control framework based on linear stability analysis is proposed focusing on reducing the aerodynamic drag due to dynamic stall through a finite-window temporal actuation. The methodology is applied on a periodically plunging SD7003…
We consider the behavior of the price of anarchy and equilibrium flows in nonatomic multi-commodity routing games as a function of the traffic demand. We analyze their smoothness with a special attention to specific values of the demand at…
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…
The motion of the electrolyte, comprising of solute ions and solvent molecules, is a frequently-occurring natural phenomenon. The motion of the electrolyte leads to the flows of ions and solvent molecules, known as electrochemical flows. In…