Related papers: Analyzing and modelling 1+1d markets
In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real…
Accurate probabilistic forecasting of intraday electricity prices is critical for market participants to inform trading decisions. Existing studies rely on specific domain features, such as Volume-Weighted Average Price (VWAP) and the last…
We propose in this paper to consider the stock market as a physical system assimilate to a fluid evolving in a macroscopic space subject to a Force that influences its movement over time where this last is arising from the collision between…
This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear…
The criteria determining the sign of entropy change in the open system are formulated. The concepts of entrostat, degree of openness, critical level of ordering are entered. The opportunity of occurrence of entropy oscillations in a…
With the fragmentation of electronic markets, exchanges are now competing in order to attract trading activity on their platform. Consequently, they developed several regulatory tools to control liquidity provision / consumption on their…
We study the dynamics of particles in a multi-component 2d Lennard-Jones (LJ) fluid in the limiting case where {\it all the particles are different} (APD). The equilibrium properties of this APD system were studied in our earlier work…
Many natural, technological and social systems are inherently not in equilibrium. We show, by detailed analysis of exemplar models, the emergence of equilibrium-like behavior in localized or nonlocalized domains within non-equilibrium…
How condensed-matter simulations depend on the number of molecules being simulated ($N$) is sometimes itself a valuable piece of information. Liquid crystals provide a case in point. Light scattering and $2d$-IR experiments on…
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by…
We present a thorough investigation of the particles on demand kinetic model. After a brief introduction of the method, an appropriate multiscale analysis is carried out to derive the hydrodynamic limit of the model. In this analysis, the…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
This article summarizes some physics aspects of the market model of Weisbuch and Stauffer, Physica A (2003): How do demand and quality expectation adjust to each other in a buyer dominated market like cinema visits? And how can business…
In this paper we develop a novel method of wholesale electricity market modeling. Our optimization-based model decomposes wholesale supply and demand curves into buy and sell orders of individual market participants. In doing so, the model…
Understanding neural dynamics is a central topic in machine learning, non-linear physics and neuroscience. However, the dynamics is non-linear, stochastic and particularly non-gradient, i.e., the driving force can not be written as gradient…
We introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities for the arrival of aggressive orders arise naturally in this…
We investigate a one-dimensional system of $N$ particles, initially distributed with random positions and velocities, interacting through binary collisions. The collision rule is such that there is a time after which the $N$ particles do…
The electronic properties of one-dimensional clusters of N atoms or molecules have been studied. The model used is similar to the Kronig-Penney model with the potential offered by each ion being approximated by an attractive delta function.…
The hopping motion of classical particles on a chain coupled to reservoirs at both ends is studied for parallel dynamics with arbitrary probabilities. The stationary state is obtained in the form of an alternating matrix product. The…
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and…