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In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alternation of bids and asks, we propose moment-based…
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…
The success of deep learning-based limit order book forecasting models is highly dependent on the quality and the robustness of the input data representation. A significant body of the quantitative finance literature focuses on utilising…
Direct numerical simulation of Stokes flow through an impermeable, rigid body matrix by finite elements requires meshes fine enough to resolve the pore-size scale and is thus a computationally expensive task. The cost is significantly…
We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$ of $\eta$. We give a Clark-Ocone type…
Turbulent dynamical systems characterized by both a high-dimensional phase space and a large number of instabilities are ubiquitous among many complex systems in science and engineering. The existence of a strange attractor in the turbulent…
Polycrystalline metal failure often begins with stress concentration at grain boundaries. Identifying which microstructural features trigger these events is important but challenging because these extreme damage events are rare and the…
In a series of recent papers Barndorff-Nielsen and Shephard introduce an attractive class of continuous time stochastic volatility models for financial assets where the volatility processes are functions of positive Ornstein-Uhlenbeck(OU)…
When randomly displacing the nodes of a crystalline and unstressed spring network, we find that the Possion's ratio decreases with the increase of structural disorder and even becomes negative. Employing our finding that longer springs tend…
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis. Our findings lead to new stylized facts in…
Percolation is a fundamental concept that brought new understanding on the robustness properties of complex systems. Here we consider percolation on weakly interacting networks, that is, network layers coupled together by much less…
For some discretely observed path of oscillating Brownian motion with level of self-organized criticality $\rho_0$, we prove in the infill asymptotics that the MLE is $n$-consistent, where $n$ denotes the sample size, and derive its limit…
This note aims at presenting several new theoretical results for the compound Poisson point process, which follows the work of Zhang \emph{et al.} [Insurance~Math.~Econom.~59(2014), 325-336]. The first part provides a new characterization…
In this paper, we analyze the robustness and sensitivity of various continuous-time rough Volterra stochastic volatility models in relation to the process of market calibration. Model robustness is examined from two perspectives: the…
First, we give an asymptotic expansion of short-dated at-the-money implied volatility that refines the preceding works and proves in particular that non-rough volatility models are inconsistent to a power law of volatility skew. Second, we…
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…